Testing for harmonic regressors.
This paper reports on simulation results for the Wald test for 1=2=0 in the regression model for the case is known and for the case where 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 leads to a quick loss of power.
|Keywords||critical values, harmonic regressors|
Franses, Ph.H.B.F., de Groot, E.A., & Legerstee, R.. (2007). Testing for harmonic regressors. (No. EI 2007-04). Report / Econometric Institute, Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/8526