Measuring business cycles: A wavelet analysis of economic time series

Research output: Contribution to journalArticle

64 Scopus citations

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 languageEnglish (US)
Pages (from-to)208-212
Number of pages5
JournalEconomics Letters
Volume100
Issue number2
DOIs
StatePublished - Aug 2008
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Keywords

  • Band-pass filter
  • Business cycle
  • Linear filter
  • Trend
  • Wavelets

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