| 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)