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An Introduction to Wavelets for Economists

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  • Christoph Schleicher

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  • Christoph Schleicher, 2002. "An Introduction to Wavelets for Economists," Staff Working Papers 02-3, Bank of Canada.
    • Handle: RePEc:bca:bocawp:02-3
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    References listed on IDEAS

    as
    1. Davidson, Russell & Labys, Walter C & Lesourd, Jean-Baptiste, 1998. "Wavelet Analysis of Commodity Price Behavior," Computational Economics, Springer;Society for Computational Economics, vol. 11(1-2), pages 103-128, April.
    2. Rainer Von Sachs & Brenda Macgibbon, 2000. "Non‐parametric Curve Estimation by Wavelet Thresholding with Locally Stationary Errors," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(3), pages 475-499, September.
    3. Michael H. Neumann, 1996. "Spectral Density Estimation Via Nonlinear Wavelet Methods For Stationary Non‐Gaussian Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(6), pages 601-633, November.
    4. Hong, Yongmiao & Lee, Jin, 2001. "One-Sided Testing For Arch Effects Using Wavelets," Econometric Theory, Cambridge University Press, vol. 17(6), pages 1051-1081, December.
    5. John Geweke & Susan Porter‐Hudak, 1983. "The Estimation And Application Of Long Memory Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 221-238, July.
    6. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, University Library of Munich, Germany.
    7. Ramsey, James B. & Lampart, Camille, 1998. "Decomposition Of Economic Relationships By Timescale Using Wavelets," Macroeconomic Dynamics, Cambridge University Press, vol. 2(1), pages 49-71, March.
    8. Nason, G.P. & von Sachs, R., 1999. "Wavelets in Time Series Analysis," Papers 9901, Catholique de Louvain - Institut de statistique.
    9. Paul Conway & David Frame, 2000. "A spectral analysis of New Zealand output gaps using Fourier and wavelet techniques," Reserve Bank of New Zealand Discussion Paper Series DP2000/06, Reserve Bank of New Zealand.
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    More about this item

    Keywords

    Econometric and statistical methods;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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