FFF {descomponer}R Documentation

Regression in Fourier Flexible Form

Description

Make a Fourier Flexible Form Regression

Usage

FFF(y,x)

Arguments

y

a Vector of the dependent variable

x

a Vector of the independent variable

Details

The regresion FFF use LM for fitted into the serie y_t and the fourier coefficients expansion described in Gallant (1984).

The output is a data.frame object.

Value

fitted

The time - serie fitted

X

The X time - series fourier coefficients

residuals

The time - serie fitted

References

DURBIN, J., "Tests for Serial Correlation in Regression Analysis based on the Periodogram ofLeast-Squares Residuals," Biometrika, 56, (No. 1, 1969), 1-15.

Engle, Robert F. (1974), Band Spectrum Regression,International Economic Review 15,1-11.

Harvey, A.C. (1978), Linear Regression in the Frequency Domain, International Economic Review, 19, 507-512.

Gallant; A. R.(1984), The Fourier Flexible Form. Amer. J. Agr. Econ.66(1984):204-15.

Parra, F. (2014), Amplitude time-frequency regression, (http://econometria.wordpress.com/2013/08/21/estimation-of-time-varying-regression-coefficients/)

Parra, F.(2021), Econometria con Series de Fourier (https://econometria.files.wordpress.com/2020/12/curso-de-econometria-avanzado.pdf)

Examples

data(PIB)
data(celec)
FFF(celec,PIB)

[Package descomponer version 1.6 Index]