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An intuitive guide to wavelets for economists

Patrick Crowley ()

GE, Growth, Math methods from EconWPA

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 C87 E32 (search for similar items in EconPapers)
Date: 2005-08-31
Note: Type of Document - pdf; pages: 71. Bank of Finland Research Discussion Papers 1/2005
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http://econwpa.repec.org/eps/ge/papers/0508/0508009.pdf (application/pdf)

Related works:
Working Paper: An intuitive guide to wavelets for economists (2005) Downloads
Working Paper: An intuitive guide to wavelets for economists (2005) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpge:0508009

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