English, Article, Journal or magazine article edition: Testing for Harmonic Regressors Franses, Philip Hans; Groot, Bert de; Legerstee, Rianne

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Bookmark: http://trove.nla.gov.au/version/66555
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Testing for Harmonic Regressors
Author
  • Franses, Philip Hans
  • Groot, Bert de
  • Legerstee, Rianne
Physical Description
  • preprint
Notes
  • We present a meta-analysis of cycles in historical economic data. The literature on stochastic and deterministic cycles in variables such as the consumer price index, employment, interest rates, commodity prices, and GDP is huge and scattered, but our meta-analysis reveals various communalities. Our key finding is that there is a set of cycle periods that is common across most economic variables. We suggest that these universal cycle periods are fundamental for economic stability.
  • Economic Cycles, Cycle Periods, Multiple Cycles, Basic Innovations, Fibonacci.
  • RePEc:dgr:nijrep:2009-06
  • This paper reports on the Wald test for a1=​a2=​0 in the regression model (t t y =​ + cos(2 t ) + sin( 2 t ) + u 1 2 ? p a ? p µ a) where ? is estimated using nonlinear least squares (NLS). 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 ? leads to a quick loss of power. Key words: Harmonic Regressors, Critical Values.
  • RePEc:dgr:nijrep:2009-05
Language
  • English
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