Linear Dynamic Harmonic Regression (LDHR)

Documentation

Marcos Bujosa, A. García-Ferrer y P. C. Young (2007). Linear Dynamic Harmonic Regression. Computational Statistics and Data Analysis. Vol 52, num. 2, pp. 999–1024 ISSN: 0167-9473 

Code

Linear Dynamic Harmonic Regression Toolbox for both GNU/Octave and MATLAB (you can find the required toolboxes in the same public directory)

Required toolboxes:

  1. E4 toolbox (Estimación de modelos Econométricos en Espacio de los Estados)

  2. The Signal Processing and Communications (SPC) toolbox: spcline.zip (linear systems/spectral estimation)

    (from ftp://svr-ftp.eng.cam.ac.uk/pub/comp.speech/tools/spctools/)

License

The Linear Dynamic Harmonic Regression Toolbox is free, open-source software. You may redistribute it and/or modify it under the terms of the GNU General Public License (GPL) as published by the Free Software Foundation.

Related papers

  1. M. Bujosa, A. Bujosa y A. García-Ferrer (2015). Mathematical Framework for Pseudo-spectra of Linear Stochastic Difference Equations. — IEEE Transactions on Signal Processing. Volume 63 , Num. 24, pp. 6498-6509. DOI:10.1109/TSP. 2015.2469640

  2. M. Bujosa, A. García-Ferrer and A. de Juan (2013). Predicting Recessions with Factor Linear Dynamic Harmonic Regressions. — Journal of Forecasting. Vol 32, num. 6, pp. 481–499 doi: 10.1002/for.2246

  3. M. Bujosa, A. García-Ferrer and P. C. Young (2007). Linear Dynamic Harmonic Regression. — Computational Statistics and Data Analysis. Vol 52, num. 2, pp. 999–1024 doi: 10.1016/j.csda.2007.07.008

  4. A. García-Ferrer, M. Bujosa, A. de Juan and P. Poncela (2006). Demand forecast and elasticities estimation of public transport.Journal of Transport Economics and Policy. Vol 40, num. 2, pp. 45–67 ISSN: 0022-5258

  5. A. García-Ferrer, A. de Juan, P. Poncela and M. Bujosa (2004). Monthly forecasts of public transport integrated systems: The case of the Madrid Metropolitan Area.Journal of Transportation and Statistics. Vol. 7, Num. 1, pp.39–59 ISSN:1094-8848

  6. A. García-Ferrer y M. Bujosa-Brun (2000). Forecasting OECD industrial turning pointsusing unobserved components models with business survey data.International Journal of Forecasting. Vol. 16, Num. 2, pp. 207–227. doi: 10.1016/S0169-2070(99)00049-7

  7. Young, P.C., Pedregal, D.J. and Tych, W., (1999), Dynamic harmonic regression, Journal of Forecasting, 18, 6, 369-394. [abstract][full text PDF]


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