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A Guide To Wavelets For Economists

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  • Patrick M. Crowley

Abstract

Wavelet analysis, although used extensively in disciplines such as signal processing, engineering, medical sciences, physics and astronomy, has not fully entered the economics discipline yet. In this survey article, wavelet analysis is introduced in an intuitive manner, and the existing economics and finance literature that utilizes wavelets is surveyed and explored. Extensive examples of exploratory wavelet analysis are given, most using Canadian, US and Finnish industrial production data. Finally, potential and possible future applications for wavelet analysis in economics are discussed.

Suggested Citation

  • Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, April.
    • Handle: RePEc:bla:jecsur:v:21:y:2007:i:2:p:207-267
    DOI: 10.1111/j.1467-6419.2006.00502.x
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