Harmonic Regression Models: A Comparative Review with Applications

Michael John Artis (), Jose G. Clavel, Mathias Hoffmann () and Dilip Nachane

No iewwp333, IEW - Working Papers from Institute for Empirical Research in Economics - IEW

Abstract: Strongly periodic series occur frequently in many disciplines. This paper reviews one specific approach to analyzing such series viz. the harmonic regression approach. In this paper the five major methods suggested under this approach are critically reviewed and compared, and their empirical potential highlighted via two applications. The out-of-sample forecast comparisons are made using the Superior Predictive Ability test, which specifically guards against the perils of data snooping. Certain tentative conclusions are drawn regarding the relative forecasting ability of the different methods.

Keywords: Mixed spectrum; autoregressive methods; eigenvalue methods; dynamic harmonic regression; data snooping: multiple forecast comparisons (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-for and nep-ore
Date: 2007-09

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Persistent link: http://EconPapers.repec.org/RePEc:zur:iewwpx:333

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