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Band Spectrum Regressions using Wavelet Analysis

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Abstract

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.

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  • Andersson, Fredrik N. G., 2011. "Band Spectrum Regressions using Wavelet Analysis," Working Papers 2011:22, Lund University, Department of Economics.
    • Handle: RePEc:hhs:lunewp:2011_022
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    File URL: http://project.nek.lu.se/publications/workpap/papers/WP11_22.pdf
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    Cited by:

    1. Andersson, Fredrik N.G. & Edgerton, David L. & Opper, Sonja, 2013. "A Matter of Time: Revisiting Growth Convergence in China," World Development, Elsevier, vol. 45(C), pages 239-251.
    2. Usman Khalid & Olivier Habimana, 2021. "Military Spending and Economic Growth in Turkey: A Wavelet Approach," Defence and Peace Economics, Taylor & Francis Journals, vol. 32(3), pages 362-376, April.
    3. Andersson, Fredrik N.G. & Karpestam, Peter, 2013. "CO2 emissions and economic activity: Short- and long-run economic determinants of scale, energy intensity and carbon intensity," Energy Policy, Elsevier, vol. 61(C), pages 1285-1294.
    4. Andersson , Fredrik N. G. & Ljungberg, Jonas, 2014. "Grain Market Integration in the Baltic Sea Region in the 19th Century," Working Papers 2014:3, Lund University, Department of Economics.

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    More about this item

    Keywords

    band spectrum regression; wavelet transform; frequency domain; economic modeling;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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