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 EconWPA in its series Econometrics with number 0503017.
Length: 68 pages
Date of creation: 17 Mar 2005
Date of revision:
Note: Type of Document - pdf; pages: 68
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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
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-ECM-2005-04-16 (Econometrics)
- NEP-ETS-2005-04-16 (Econometric Time Series)
- NEP-HPE-2005-04-16 (History & Philosophy of Economics)
- NEP-MAC-2005-04-16 (Macroeconomics)
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