An intuitive guide to wavelets for economists
AbstractWavelet 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.
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Bibliographic InfoPaper provided by Bank of Finland in its series Research Discussion Papers with number 1/2005.
Length: 71 pages
Date of creation: 01 Jan 2005
Date of revision:
Publication status: Published as Crowley, Patrick, 'An intuitive guide to wavelets for economists' in Journal of Economic Surveys, 2007, pages 207-267.
Note: Revised version published in Journal of Economic Surveys, 2007.
Contact details of provider:
Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.suomenpankki.fi/en/
More information through EDIRC
statistical methodology; multiresolution analysis; wavelets; business cycles; economic growth;
Other versions of this item:
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-21 (All new papers)
- NEP-ETS-2006-10-21 (Econometric Time Series)
- NEP-HPE-2006-10-21 (History & Philosophy of Economics)
- NEP-MAC-2006-10-21 (Macroeconomics)
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