Testing Changing Harmonic Regressors
Econometric models for economic time series may include harmonic regressors to describe cyclical patterns in the data. This paper focuses on the possibility that the cycle periods in these regressors change over time. To this end, a smooth regime-switching harmonic regression is proposed, and a diagnostic test for changing cycle periods is proposed. An application to annual GDP growth in the Netherlands (for 1969-2007) shows that around 1975 the business cycle period shifted from about 3 years to about 11 years.
|Keywords||harmonic regressors, smooth regime-switching model|
|Publisher||Erasmus School of Economics|
|Series||Econometric Institute Research Papers|
|Journal||Report / Econometric Institute, Erasmus University Rotterdam|
Franses, Ph.H.B.F. (2009). Testing Changing Harmonic Regressors (No. EI 2009-13). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–15). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/16216