Abstract
Multiresolution wavelet analysis is a natural way to decompose an economic time series into trend, cycle, and noise. The method is illustrated with GDP data. The business-cycle component of the wavelet-filtered series closely resembles the series filtered by the approximate bandpass filter.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 208-212 |
| Number of pages | 5 |
| Journal | Economics Letters |
| Volume | 100 |
| Issue number | 2 |
| DOIs | |
| State | Published - Aug 2008 |
| Externally published | Yes |
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics
Keywords
- Band-pass filter
- Business cycle
- Linear filter
- Trend
- Wavelets