Scandinavian Working Papers in Economics
CAFO Working Papers,
Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics
No 2006:2: A New Approach for Analyzing Fractional Difference Processes
Abdullah Almasri ()
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Abdullah Almasri: Centre for Labour Market Policy Research (CAFO), Postal: Centre for Labour Market Policy Research (CAFO), Dept of Economics and Statistics, School of Management and Economics, Växjö University , SE 351 95 Växjö, Sweden
Abstract: This paper describes a new approach to analys the Fractional Difference (FD) processes using spectral analysis. The approach is based on the periodogram and the main idea behind it is to divide the Fourier frequencies into different frequency intervals or bands, matching the band-pass of the Discrete Wavelet Transform (DWT). The proposed approach has been tested and compared with the wavelet method.
Keywords: Discrete Wavelet Transform; Fractional Difference Process; Band periodogram
JEL-codes: C22
16 pages, January 5, 2006
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