Testing for harmonic regressors

Philip Hans Franses, Bert de Groot and Rianne Legerstee

No EI 2007-04, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: This paper reports on simulation results for the Wald test for ∝1=∝2=0 in the regression model [Please open the additional file (8526_math.png) to see the regression model] for the case ĸ is known and for the case where ĸ has to be estimated using nonlinear least squares (NLS). This last situation is not standard, and we therefore provide critical values for further use. A power study shows that choosing inappropriate starting values for ĸ leads to a quick loss of power.

Keywords: critical values; harmonic regressors (search for similar items in EconPapers)
Date: 2007-01-31
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Journal Article: Testing for harmonic regressors (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureir:8526

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