The detection of hidden periodicities: A comparison of alternative methods

Michael Artis, Mathias Hoffmann, Dilip Nachane and Juan Toro

No ECO2004/10, Economics Working Papers from European University Institute

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.

Keywords: Fixed frequency effect models; mixed spectrum; maximum periodogram ordinates; amplied harmonics; simulations; power comparisons (search for similar items in EconPapers)
JEL-codes: C10 C15 C63 (search for similar items in EconPapers)
Date: 2004
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco2004/10

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