Measuring business cycles: A wavelet analysis of economic time series

Motohiro Yogo

Economics Letters, 2008, vol. 100, issue 2, 208-212

Abstract: Multiresolution wavelet analysis is a natural way to decompose an economic time series into trend, cycle, and noise. The method is illustrated with GDP data. The business-cycle component of the wavelet-filtered series closely resembles the series filtered by the approximate bandpass filter.

Date: 2008
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