An intuitive guide to wavelets for economists
Crowley, Patrick M. (01.01.2005)
Numero
1/2005Julkaisija
Bank of Finland
2005
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201501291029Tiivistelmä
Wavelet analysis, although used extensively in disciplines such as
signal processing, engineering, medical sciences, physics and
astronomy, has not yet fully entered the economics discipline. In
this discussion paper, wavelet analysis is introduced in an
intuitive manner, and the existing economics and finance literature
that utilises wavelets is explored. Extensive examples of
exploratory wavelet analysis are given, many using Canadian, US and
Finnish industrial production data. Finally, potential future
applications for wavelet analysis in economics are also discussed
and explored.
Keywords: statistical methodology, multiresolution analysis, wavelets, business cycles, economic growth.
JEL classification numbers: C19, C65, C87, E32.
signal processing, engineering, medical sciences, physics and
astronomy, has not yet fully entered the economics discipline. In
this discussion paper, wavelet analysis is introduced in an
intuitive manner, and the existing economics and finance literature
that utilises wavelets is explored. Extensive examples of
exploratory wavelet analysis are given, many using Canadian, US and
Finnish industrial production data. Finally, potential future
applications for wavelet analysis in economics are also discussed
and explored.
Keywords: statistical methodology, multiresolution analysis, wavelets, business cycles, economic growth.
JEL classification numbers: C19, C65, C87, E32.
Julkaisuhuomautus
Published in Journal of Economic Surveys, Volume 21, Issue 2, April 2007: 207-267