Methods for determining the presence of periodic correlation based on the bootstrap methodology

Ewa Broszkiewicz-Suwaj

No HSC/03/02, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: This paper presents methods for detecting the period of non Gaussian PC processes. A new statistic for testing periodic correlation is proposed. It is based on the bootstrap procedure which is used to estimate confidence intervals of coherence statistic. This method is linked to that of Hurd and Gerr based on Goodman's tests so both methodologies are also compared. It is demonstrated that in some situations the new test appears to be better.

Keywords: Periodic correlation; Bootstrap; Spectral representation (search for similar items in EconPapers)
JEL-codes: C22 C32 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_03_02.pdf Original version, 2003 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:wuu:wpaper:hsc0302

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