Band Spectrum Regressions using Wavelet Analysis

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.

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Year of publication:	2011-06-29
Authors:	Andersson, Fredrik N. G.
Institutions:	Nationalekonomiska Institutionen, Ekonomihögskolan
Subject:	band spectrum regression \| wavelet transform \| frequency domain \| economic modeling

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Papers Number 2011:22 18 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009150902