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Department of Economics, Lund University Working Papers, Department of Economics, Lund University

No 2011:22:
Band Spectrum Regressions using Wavelet Analysis

Fredrik N. G. Andersson ()

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; (follow links to similar papers)

JEL-Codes: C14; C32; C51; (follow links to similar papers)

18 pages, June 29, 2011

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