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The Decomposition of Economic Relationships by Time Scale Using Wavelets Author info | Abstract | Publisher info | Download info | Related research | Statistics Ramsey, J.B.
Lampart, C.
This paper uses wavelets to produce an orthogonal decomposition of some economic variables by time scale over six different time scales. The relationships of interest are the permanent income hypothesis and velocity.
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Paper provided by C.V. Starr Center for Applied Economics, New York University in its series Working Papers with number
97-08.
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Length: 61 pages
Date of creation: 1997Date of revision:
Handle: RePEc:cvs:starer:97-08Contact details of provider: Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012 Phone: (212) 998-8936 Fax: (212) 995-3932 Web page: http://econ.as.nyu.edu/object/econ.cvstarr.html More information through EDIRC
Order Information: Postal: C.V. Starr Center, Department of Economics, New York University, 19 W. 4th Street, 6th Floor, New York, NY 10012 Email:
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Keywords: ECONOMETRICS ; Other versions of this item:
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation E21 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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Corbae, Dean & Ouliaris, Sam & Phillips, Peter C B, 1994.
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Dean Corbea & Sam Ouliaris & Peter C.B. Phillips, 1991.
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Cowles Foundation Discussion Papers
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[Downloadable!] Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1991.
"A Rexamination of the Consumption Function Using Frequency Domain Regressions ,"
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Cooley, Thomas F & LeRoy, Stephen F, 1981.
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American Economic Review ,
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Jensen, Mark J., 2000.
"An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets ,"
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Other versions: Friedman, Benjamin M. & Kuttner, Kenneth N., 1993.
"Another look at the evidence on money-income causality ,"
Journal of Econometrics ,
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Other versions: Michael J. Dueker, 1993.
"Can nominal GDP targeting rules stabilize the economy? ,"
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Campbell, John Y & Mankiw, N Gregory, 1990.
"Permanent Income, Current Income, and Consumption ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 8(3), pages 265-79, July.
Other versions: William A. Barnett & Haiyang Xu, 1998.
"Money Velocity with Interest Rate Stochastic Volatility and Exact Aggregation ,"
Macroeconomics
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Spencer, David E, 1989.
"Does Money Matter? The Robustness of Evidence from Vector Autoregressions ,"
Journal of Money, Credit and Banking ,
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Michael J. Dueker, 1995.
"Narrow vs. broad measures of money as intermediate targets: some forecast results ,"
Review ,
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Flavin, Marjorie A, 1981.
"The Adjustment of Consumption to Changing Expectations about Future Income ,"
Journal of Political Economy ,
University of Chicago Press, vol. 89(5), pages 974-1009, October.
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Christiano, Lawrence J & Eichenbaum, Martin & Marshall, David, 1991.
"The Permanent Income Hypothesis Revisited ,"
Econometrica ,
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Other versions: Sims, Christopher A, 1972.
"Money, Income, and Causality ,"
American Economic Review ,
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Boyle, Glenn W, 1990.
"Money Demand and the Stock Market in a General Equilibrium Model with Variable Velocity ,"
Journal of Political Economy ,
University of Chicago Press, vol. 98(5), pages 1039-53, October.
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Engle, Robert F, 1974.
"Band Spectrum Regression ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
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Other versions: Raj, B., 1995.
"The Institutional Hypothesis of the Long-Run Income Velocity of Money and Parameter Stability of the Equilibrium Relationship ,"
Working Papers
95001, Wilfrid Laurier University, Department of Economics.
Quah, Danny, 1990.
"Permanent and Transitory Movements in Labor Income: An Explanation for "Excess Smoothness" in Consumption ,"
Journal of Political Economy ,
University of Chicago Press, vol. 98(3), pages 449-75, June.
[Downloadable!] (restricted)
Other versions: Charles R. Nelson, 1987.
"A Reappraisal of Recent Tests of the Permanent Income Hypothesis ,"
NBER Working Papers
1687, National Bureau of Economic Research, Inc.
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Serletis, Apostolos, 1995.
"Random Walks, Breaking Trend Functions, and the Chaotic Structure of the Velocity of Money ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 13(4), pages 453-58, October.
Raj, Baldev, 1995.
"Institutional Hypothesis of the Long-Run Income Velocity of Money and Parameter Stability of the Equilibrium Relationship ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 10(3), pages 233-53, July-Sept.
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Molana, H, 1991.
"The Time Series Consumption Function: Error Correction, Random Walk and the Steady-State ,"
Economic Journal ,
Royal Economic Society, vol. 101(406), pages 382-403, May.
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Stephen M. Goldfeld, 1976.
"The Case of the Missing Money ,"
Brookings Papers on Economic Activity ,
Economic Studies Program, The Brookings Institution, vol. 7(1976-3), pages 683-740.
[Downloadable!]
Artis, Michael J & Bladen-Hovell, Robin & Nachane, Dilip M, 1992.
"Instability of the Velocity of Money: A New Approach Based on the Evolutionary Spectrum ,"
CEPR Discussion Papers
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McCallum, Bennett T., 1984.
"On low-frequency estimates of long-run relationships in macroeconomics ,"
Journal of Monetary Economics ,
Elsevier, vol. 14(1), pages 3-14, July.
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Other versions: Greenblatt, Seth A, 1998.
"Atomic Decomposition of Financial Data ,"
Computational Economics ,
Springer, vol. 12(3), pages 275-93, December.
[Downloadable!]
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