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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title Harmonic Regression Models: A Comparative Review with Applications
Organization Unit
Authors
  • Michael J Artis
  • José G Clavel
  • Mathias Hoffmann
  • Dilip Nachane
Language
  • English
Institution University of Zurich
Series Name Working paper series / Institute for Empirical Research in Economics
Number No. 333
ISSN 1424-0459
Date 2007
Abstract Text Strongly periodic series occur frequently in many disciplines. This paper reviews one specific approach to analyzing such series viz. the harmonic regression approach.In this paper the five major methodsnsuggested under this approach are critically reviewed and compared, and their empirical potential highlighted via two applications. The out-of-sample forecast comparisons are made using the Superior Predictive Ability test, which specifically guards against the perils of data snooping. Certain tentative conclusions are drawn regarding the relative forecasting ability of the different methods.
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