Research Discussion Papers, Bank of Finland
An intuitive guide to wavelets for economists
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; (follow links to similar papers)
JEL-Codes: C19; C65; C87; E32; (follow links to similar papers)
71 pages, January 1, 2005
Revised version published in Journal of Economic Surveys, 2007.
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- This paper is published as:
Crowley, Patrick, (2007), 'An intuitive guide to wavelets for economists', Journal of Economic Surveys, Vol. 21, No. 2, pages 207-267
Crowley, Patrick, (2007), An intuitive guide to wavelets for economists, Vol. 21, 2 edn., pp207-267, Journal of Economic Surveys.
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