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Band Spectrum Regressions using Wavelet Analysis

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Abstract

In 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 Info

Paper provided by Lund University, Department of Economics in its series Working Papers with number 2011:22.

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Length: 18 pages
Date of creation: 29 Jun 2011
Date of revision:
Handle: RePEc:hhs:lunewp:2011_022

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Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden
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Fax: +46 +46 2224613
Web page: http://www.nek.lu.se/en
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Keywords: band spectrum regression; wavelet transform; frequency domain; economic modeling;

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  1. Nazrul Islam, 2003. "What have We Learnt from the Convergence Debate?," Journal of Economic Surveys, Wiley Blackwell, vol. 17(3), pages 309-362, 07.
  2. Ramsey, James B. & Lampart, Camille, 1998. "Decomposition Of Economic Relationships By Timescale Using Wavelets," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 2(01), pages 49-71, March.
  3. Englund, P. & Persson, T. & Svensson, L.E.O., 1991. "Swedish Business Cycles : 1861-1988," RCER Working Papers 275a, University of Rochester - Center for Economic Research (RCER).
  4. Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1997. "Band Spectral Regression with Trending Data," Working Papers, University of Iowa, Department of Economics 97-09, University of Iowa, Department of Economics.
  5. Milton Friedman, 1957. "Introduction to "A Theory of the Consumption Function"," NBER Chapters, in: A Theory of the Consumption Function, pages 1-6 National Bureau of Economic Research, Inc.
  6. Marvin Goodfriend & Robert G. King, 1998. "The new neoclassical synthesis and the role of monetary policy," Working Paper, Federal Reserve Bank of Richmond 98-05, Federal Reserve Bank of Richmond.
  7. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists ," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, 04.
  8. Milton Friedman & Simon Kuznets, 1954. "The Data on Income from Independent Professional Practice," NBER Chapters, in: Income from Independent Professional Practice, pages 46-62 National Bureau of Economic Research, Inc.
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Cited by:
  1. Andersson, Fredrik N. G. & Edgerton, David & Opper, Sonja, 2011. "A Matter of Time: Revisiting Growth Convergence in China," Working Papers, Lund University, Department of Economics 2011:23, Lund University, Department of Economics, revised 01 Mar 2012.
  2. Andersson , Fredrik N. G. & Ljungberg, Jonas, 2014. "Grain Market Integration in the Baltic Sea Region in the 19th Century," Working Papers, Lund University, Department of Economics 2014:3, Lund University, Department of Economics.
  3. Andersson, Fredrik N.G. & Karpestam, Peter, 2013. "CO2 emissions and economic activity: Short- and long-run economic determinants of scale, energy intensity and carbon intensity," Energy Policy, Elsevier, vol. 61(C), pages 1285-1294.

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