An intuitive guide to wavelets for economists

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Title: An intuitive guide to wavelets for economists
ISBN: 952-462-189-4
Author: Crowley, Patrick M.
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2005
Series number: 1/2005
Year of publication: 2005
Publication date: 1.1.2005
Published in: Published in Journal of Economic Surveys, Volume 21, Issue 2, April 2007: 207-267
Pages: 71
Keywords: menetelmät; tilastotiede; suhdanteet; teollisuus; tuotanto; ekonometria; Kanada; Suomi; USA; talouskasvu
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. JEL classification numbers: C19, C65, C87, E32.

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