Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries

Łukasz Lenart

Dynamic Econometric Models, 2015, vol. 15, 27-47

Abstract: The aim of this paper is to show the usefulness the discrete spectral analysis in identification cyclical fluctuations. The subsampling procedure was applied to construct the asymptotically consistent test for Fourier coefficient and frequency significance. The case of monthly production in industry in European countries (thirty countries) was considered. Using pro-posed approach the frequencies concerning business fluctuations, seasonal fluctuations and trading-day effects fluctuations were recognized in considered data sets. The comparison with existing procedures was shown.

Keywords: discrete spectral analysis; almost periodic function; frequency identification; graphical test (search for similar items in EconPapers)
JEL-codes: C14 C46 E32 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:15:y:2015:p:27-47

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