Analyzing Strongly Periodic Series in the Frequency Domain: A Comparison of Alternative Approaches with Applications

Michael Artis, Dilip M Nachane, Mathias Hoffmann and Jose Clavel

No 6517, CEPR Discussion Papers from Centre for Economic Policy Research

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 C53 (search for similar items in EconPapers)
Date: 2007-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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