This paper reports on the Wald test for a1=a2=0 in the regression model 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.

Journal of Applied Statistics
Erasmus Research Institute of Management

Franses, Ph.H.B.F, de Groot, E.A, & Legerstee, R. (2009). Testing for harmonic regressors. Journal of Applied Statistics, 36(3), 339–346. doi:10.1080/02664760802454837