IDEAS home Printed from https://ideas.repec.org/p/ems/eureir/16216.html
   My bibliography  Save this paper

Testing Changing Harmonic Regressors

Author

Listed:
  • Franses, Ph.H.B.F.

Abstract

Econometric models for economic time series may include harmonic regressors to describe cyclical patterns in the data. This paper focuses on the possibility that the cycle periods in these regressors change over time. To this end, a smooth regime-switching harmonic regression is proposed, and a diagnostic test for changing cycle periods is proposed. An application to annual GDP growth in the Netherlands (for 1969-2007) shows that around 1975 the business cycle period shifted from about 3 years to about 11 years.

Suggested Citation

  • Franses, Ph.H.B.F., 2009. "Testing Changing Harmonic Regressors," Econometric Institute Research Papers EI 2009-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:16216
    as

    Download full text from publisher

    File URL: https://repub.eur.nl/pub/16216/EI2009-13.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Philip Hans Franses & Bert de Groot & Rianne Legerstee, 2009. "Testing for harmonic regressors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(3), pages 339-346.
    2. Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003. "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 104-121, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Offer Lieberman & Peter C. B. Phillips, 2014. "Norming Rates And Limit Theory For Some Time-Varying Coefficient Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 592-623, November.
    2. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
    3. Daiki Maki & Yasushi Ota, 2021. "Testing for Time-Varying Properties Under Misspecified Conditional Mean and Variance," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1167-1182, April.
    4. Michael Funke & Marc Gronwald, 2008. "The Undisclosed Renminbi Basket: Are the Markets Telling Us Something about Where the Renminbi–US Dollar Exchange Rate is Going?," The World Economy, Wiley Blackwell, vol. 31(12), pages 1581-1598, December.
    5. Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CREATES Research Papers 2013-32, Department of Economics and Business Economics, Aarhus University.
    6. D R Osborn & M Sensier, 2004. "Modelling UK Inflation: Persistence, Seasonality and Monetary Policy," Centre for Growth and Business Cycle Research Discussion Paper Series 46, Economics, The University of Manchester.
    7. Zhao, Zifeng & Zhang, Zhengjun & Chen, Rong, 2018. "Modeling maxima with autoregressive conditional Fréchet model," Journal of Econometrics, Elsevier, vol. 207(2), pages 325-351.
    8. González, Andrés & Teräsvirta, Timo & van Dijk, Dick & Yang, Yukai, 2005. "Panel Smooth Transition Regression Models," SSE/EFI Working Paper Series in Economics and Finance 604, Stockholm School of Economics, revised 11 Oct 2017.
    9. Tolga Omay & Furkan Emirmahmutoglu & Mubariz Hasanov, 2018. "Structural break, nonlinearity and asymmetry: a re-examination of PPP proposition," Applied Economics, Taylor & Francis Journals, vol. 50(12), pages 1289-1308, March.
    10. Marianne Sensier & Dick van Dijk, 2004. "Testing for Volatility Changes in U.S. Macroeconomic Time Series," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 833-839, August.
    11. Zanetti Chini, Emilio, 2018. "Forecasting dynamically asymmetric fluctuations of the U.S. business cycle," International Journal of Forecasting, Elsevier, vol. 34(4), pages 711-732.
    12. Zhang, Bo & Chan, Joshua C.C. & Cross, Jamie L., 2020. "Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1318-1328.
    13. Sensier, M. & van Dijk, D.J.C., 2001. "Short-term volatility versus long-term growth: evidence in US macroeconomic time series," Econometric Institute Research Papers EI 2001-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    14. Francesco Battaglia & Mattheos Protopapas, 2012. "An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 21(3), pages 315-334, August.
    15. Novella Maugeri, 2014. "Some Pitfalls in Smooth Transition Models Estimation: A Monte Carlo Study," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 339-378, October.
    16. Gary Koop & Simon M. Potter, 2007. "A flexible approach to parametric inference in nonlinear time series models," Staff Reports 285, Federal Reserve Bank of New York.
    17. Hasanov, Mübariz & Araç, Aysen & Telatar, Funda, 2010. "Nonlinearity and structural stability in the Phillips curve: Evidence from Turkey," Economic Modelling, Elsevier, vol. 27(5), pages 1103-1115, September.
    18. Hernán Rincón & Norberto Rodríguez, 2014. "Reestimación del grado de transmisión de la tasa de cambio del peso sobre la inflación de los bienes importados," Borradores de Economia 850, Banco de la Republica de Colombia.
    19. Giorgio Canarella & Stephen M. Miller, 2017. "Did Okun’s law die after the Great Recession?," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 52(4), pages 216-226, October.
    20. Luis Eduardo Arango & Andrés González & Carlos Esteban Posada, 2001. "Returns And Interest Rate: A Nonlinear Relationship In The Bogota Stock Market," Borradores de Economia 3468, Banco de la Republica.

    More about this item

    Keywords

    harmonic regressors; smooth regime-switching model;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ems:eureir:16216. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: RePub (email available below). General contact details of provider: https://edirc.repec.org/data/feeurnl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.