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.
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.