Scandinavian Working Papers in Economics
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Bank of Finland Research Discussion Papers, Bank of Finland

No 1/2005:
An intuitive guide to wavelets for economists

Patrick Crowley ()

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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