An Introduction to Wavelets for Economists
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 02-3.
Length: 41 pages Abstract: Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales. While their theoretical foundations were completed by the late 1980s, the 1990s saw a rapid spread to a wide range of applied sciences. A number of successful applications indicate that wavelets are on the verge of entering mainstream econometrics. This paper gives an informal and non-technical introduction to wavelets, and describes their potential for the economic researcher.
Date of creation: 2002
Date of revision:
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Econometric and statistical methods;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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- Davidson, R. & Labys, W.C. & Lesourd, J.B., 1996.
"Wavelet Analysis of Commodity Price Behavior,"
96b11, Universite Aix-Marseille III.
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- Jensen, Mark J, 1999.
"Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter,"
39152, University Library of Munich, Germany.
- Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA.
- Paul Conway & David Frame, 2000. "A spectral analysis of New Zealand output gaps using Fourier and wavelet techniques," Reserve Bank of New Zealand Discussion Paper Series DP2000/06, Reserve Bank of New Zealand.
- Nason, G.P. & von Sachs, R., 1999. "Wavelets in Time Series Analysis," Papers 9901, Catholique de Louvain - Institut de statistique.
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