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
Authors:	Andersson, Fredrik N. G.
Publisher:	Lund : Lund University, School of Economics and Management, Department of Economics
Subject:	band spectrum regression \| wavelet transform \| frequency domain \| economic modeling

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Series:	Working Paper ; 2011:22
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	663645441 [GVK] hdl:10419/260012 [Handle] RePEc:hhs:lunewp:2011_022 [RePEc]
Classification:	C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	EconStor

Persistent link: https://www.econbiz.de/10013208583