An intuitive guide to wavelets for economists

Patrick Matthew Crowley ()

No 1/2005, Research Discussion Papers from Bank of Finland

Abstract: Wavelet analysis, although used extensively in disciplines such as signal processing, engineering, medical sciences, physics and astronomy, has not yet fully entered the economics discipline. In this discussion paper, wavelet analysis is introduced in an intuitive manner, and the existing economics and finance literature that utilises wavelets is explored. Extensive examples of exploratory wavelet analysis are given, many using Canadian, US and Finnish industrial production data. Finally, potential future applications for wavelet analysis in economics are also discussed and explored.

Keywords: statistical methodology; multiresolution analysis; wavelets; business cycles; economic growth (search for similar items in EconPapers)
JEL-codes: C19 C65 C87 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-hpe and nep-mac
Date: 2005-01-01
Note: Revised version published in Journal of Economic Surveys, 2007.
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Published in Journal of Economic Surveys, 2007, pages 207-267.

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http://www.bof.fi/NR/rdonlyres/ADC6B03A-98DB-40D1- ... 2860/0/0501netti.pdf (application/pdf)

Related works:
Working Paper: An intuitive guide to wavelets for economists (2005)
Working Paper: An intuitive guide to wavelets for economists (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:bofrdp:2005_001

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