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The detection of hidden periodicities: A comparison of alternative methods

Author

Listed:
  • Michael ARTIS
  • Mathias HOFFMANN
  • Dilip NACHANE
  • Juan TORO

Abstract

"Fixed frequency effect models" represent a powerful tool for analyzing time series exhibiting strong periodicities. However, in spite of their appeal to the practitioner, their use has been constrained by ignorance about their statistical properties. This paper attempts to oer a comparison among alternative methods via extensive simulation studies. The methods are compared across several performance characteristics most notably bias, variance power and RMSE (root mean square error). By way of illustration, two empirical examples are also included.

Suggested Citation

  • Michael ARTIS & Mathias HOFFMANN & Dilip NACHANE & Juan TORO, 2004. "The detection of hidden periodicities: A comparison of alternative methods," Economics Working Papers ECO2004/10, European University Institute.
    • Handle: RePEc:eui:euiwps:eco2004/10
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    More about this item

    Keywords

    Fixed frequency effect models; mixed spectrum; maximum periodogram ordinates; amplied harmonics; simulations; power comparisons;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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