Working Papers, Department of Economics, Lund University
Fredrik N. G. Andersson
Band Spectrum Regressions using Wavelet Analysis
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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