IDEAS home Printed from https://ideas.repec.org/a/bpj/sndecm/v3y1998i1n2.html
   My bibliography  Save this article

The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income

Author

Listed:
  • Ramsey James B.

    (New York University New York University)

  • Lampart Camille

    (New York University New York University)

Abstract

Economists have long known that time scale matters, in that the structure of decisions as to the relevant time horizon, degree of time aggregation, strength of relationship, and even the relevant variables differ by time scale. Unfortunately, until recently it was difficult to decompose economic time series into orthogonal time-scale components except for the short and long run, in which the former is dominated by noise. This paper uses wavelets to produce an orthogonal decomposition of some economic variables by time scale over six different time scales. The relationship of interest is the permanent income hypothesis. We confirm that time-scale decomposition is very important for analyzing economic relationships and that a number of anomalies previously noted in the literature are explained by these means. The analysis indicates the importance of recognizing variations in phase between variables when investigating the economic relationships.

Suggested Citation

  • Ramsey James B. & Lampart Camille, 1998. "The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(1), pages 1-22, April.
  • Handle: RePEc:bpj:sndecm:v:3:y:1998:i:1:n:2
    as

    Download full text from publisher

    File URL: https://www.degruyter.com/view/j/snde.1998.3.1/snde.1998.3.1.1039/snde.1998.3.1.1039.xml?format=INT
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:3:y:1998:i:1:n:2. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla). General contact details of provider: https://www.degruyter.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.