Testing for harmonic regressors

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.

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Year of publication:	2009
Authors:	Franses, Philip Hans ; Groot, Bert de ; Legerstee, Rianne
Published in:	Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 36.2009, 3, p. 339-346
Publisher:	Taylor & Francis Journals
Subject:	harmonic regressors \| critical values

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004992279