Testing for harmonic regressors

Philip Hans Franses, Bert de Groot and Rianne Legerstee

Journal of Applied Statistics, 2009, vol. 36, issue 3, 339-346

Abstract: This paper reports on the Wald test for α1=α2=0 in the regression model [image omitted] where κ is estimated using nonlinear least squares. As this situation is not standard we provide critical values for further use. An illustration to quarterly GDP in the Netherlands is given. A power study shows that choosing inappropriate starting values for κ leads to a quick loss of power.

Keywords: harmonic regressors; critical values (search for similar items in EconPapers)
Date: 2009
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Working Paper: Testing for harmonic regressors (2007)
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DOI: 10.1080/02664760802454837

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