Band Spectrum Regressions using Wavelet Analysis
AbstractIn economics it is common to distinguish between different time horizons (i.e. short run, medium run, and long run). Engle (1974) proposed combining the discrete Fourier transform with a band spectrum regression to estimate models that separates between different time horizons. In this paper we discuss possibilities and challenges using the maximal overlap discrete wavelet transform instead of the Fourier transform when estimating band spectrum regressions.
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Bibliographic InfoPaper provided by Lund University, Department of Economics in its series Working Papers with number 2011:22.
Length: 18 pages
Date of creation: 29 Jun 2011
Date of revision:
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band spectrum regression; wavelet transform; frequency domain; economic modeling;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-13 (All new papers)
- NEP-ECM-2011-07-13 (Econometrics)
- NEP-ETS-2011-07-13 (Econometric Time Series)
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