Band Spectrum Regressions using Wavelet Analysis

Fredrik Andersson

No 2011:22, Working Papers from Lund University, Department of Economics

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.

Keywords: band spectrum regression; wavelet transform; frequency domain; economic modeling (search for similar items in EconPapers)
JEL-codes: C14 C32 C51 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2011-06-29
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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