Band Spectrum Regressions using Wavelet Analysis
In economics it is common to distinguish between different time horizons (i.e. short run, medium run, and long run). Engle (1974) proposed combining the discrete Fourier transform with a band spectrum regression to estimate models that separates between different time horizons. In this paper we discuss possibilities and challenges using the maximal overlap discrete wavelet transform instead of the Fourier transform when estimating band spectrum regressions.
|Date of creation:||29 Jun 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +46 +46 222 0000
Fax: +46 +46 2224613
Web page: http://www.nek.lu.se/en
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists ," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, 04.
- Milton Friedman, 1957. "Introduction to "A Theory of the Consumption Function"," NBER Chapters, in: A Theory of the Consumption Function, pages 1-6 National Bureau of Economic Research, Inc.
- Englund, P. & Persson, T. & Svensson, L.E.O., 1990.
"Swedish Business Cyscles: 1861-1988,"
1990r, Uppsala - Working Paper Series.
- Milton Friedman & Simon Kuznets, 1954. "The Data on Income from Independent Professional Practice," NBER Chapters, in: Income from Independent Professional Practice, pages 46-62 National Bureau of Economic Research, Inc.
- Marvin Goodfriend & Robert King, 1997.
"The New Neoclassical Synthesis and the Role of Monetary Policy,"
in: NBER Macroeconomics Annual 1997, Volume 12, pages 231-296
National Bureau of Economic Research, Inc.
- Marvin Goodfriend & Robert G. King, 1998. "The new neoclassical synthesis and the role of monetary policy," Working Paper 98-05, Federal Reserve Bank of Richmond.
- Corbae, D. & Ouliaris, S. & Phillips, P.C.B., 1997.
"Band Spectral Regression with Trending Data,"
97-09, University of Iowa, Department of Economics.
- Nazrul Islam, 2003. "What have We Learnt from the Convergence Debate?," Journal of Economic Surveys, Wiley Blackwell, vol. 17(3), pages 309-362, 07.
- Ramsey, James B. & Lampart, Camille, 1998. "Decomposition Of Economic Relationships By Timescale Using Wavelets," Macroeconomic Dynamics, Cambridge University Press, vol. 2(01), pages 49-71, March.
When requesting a correction, please mention this item's handle: RePEc:hhs:lunewp:2011_022. 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: (David Edgerton)
If references are entirely missing, you can add them using this form.