The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 3 (1998)
Issue (Month): 1 (April)
|Contact details of provider:|| Web page: https://www.degruyter.com|
|Order Information:||Web: https://www.degruyter.com/view/j/snde|
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)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.