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Measuring business cycles: A wavelet analysis of economic time series

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Author Info
Yogo, Motohiro

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Abstract

Multiresolution wavelet analysis is a natural way to decompose an economic time series into trend, cycle, and noise. The method is illustrated with GDP data. The business-cycle component of the wavelet-filtered series closely resembles the series filtered by the approximate bandpass filter.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4RNR6VJ-2/1/4dbe5e5a39e8f36855b6c02f0388491e
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 100 (2008)
Issue (Month): 2 (August)
Pages: 208-212
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Handle: RePEc:eee:ecolet:v:100:y:2008:i:2:p:208-212

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Web page: http://www.elsevier.com/locate/ecolet

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