Band Spectrum Regressions using Wavelet Analysis

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2011:22

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation
• Subject: band spectrum regression ; wavelet transform ; frequency domain ; economic modeling

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Andersson, Fredrik N. G.
• Event: Veröffentlichung
• (who): Lund University, School of Economics and Management, Department of Economics
• (where): Lund
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/260012
• Last update: 10.03.2025, 11:44 AM CET