ssrn-id787564 - Patrick Crowley An intuitive guide to...

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Unformatted text preview: Patrick Crowley An intuitive guide to wavelets for economists Bank of Finland Research Discussion Papers 1 2005 Suomen Pankki Bank of Finland P.O.Box 160 FIN-00101 HELSINKI Finland + 358 10 8311 http://www.bof.fi Bank of Finland Research Discussion Papers 1 2005 Patrick M. Crowley An intuitive guide to wavelets for economists The views expressed are those of the author and do not necessarily reflect the views of the Bank of Finland. Visiting Research Scholar, Bank of Finland, Helsinki, Finland and College of Business, Texas A&M University, Corpus Christi, TX, USA. Contact details: Monetary Policy and Research department, Bank of Finland, P.O. Box 101, 00101 Helsinki, Finland. Email: patrick.crowley@bof.fi http://www.bof.fi ISBN 952-462-188-6 ISSN 0785-3572 (print) ISBN 952-462-189-4 ISSN 1456-6184 (online) Multiprint Oy Helsinki 2005 3 An intuitive guide to wavelets for economists Bank of Finland Research Discussion Papers 1/2005 Patrick M Crowley Monetary Policy and Research Department Abstract Wavelet analysis, although used extensively in disciplines such as signal processing, engineering, medical sciences, physics and astronomy, has not yet fully entered the economics discipline. In this discussion paper, wavelet analysis is introduced in an intuitive manner, and the existing economics and finance literature that utilises wavelets is explored. Extensive examples of exploratory wavelet analysis are given, many using Canadian, US and Finnish industrial production data. Finally, potential future applications for wavelet analysis in economics are also discussed and explored. Key words: statistical methodology, multiresolution analysis, wavelets, business cycles, economic growth JEL classification numbers: C19, C65, C87, E32 4 Aallokkeiden teoriaa ekonomisteille Suomen Pankin tutkimus Keskustelualoitteita 1/2005 Patrick M. Crowley Rahapolitiikka- ja tutkimusosasto Tiivistelm Aallokkeiden teoriana tunnettu analyysimenetelm ei ole viel tysin saanut ase- maa taloustieteiss, vaikka sit kytetn laajasti signaaliprosessoinnissa, insi- nri- ja lketieteess, fysiikassa ja astronomiassa. Tss tutkimuksessa kydn lpi menetelmn perusideoita ja sen sovelluksa taloustieteiss ja rahoitus- tutkimuksessa. Lisksi analyysivlineen kytt havainnollistetaan lukuisilla esi- merkeill, joista monessa menetelm kytetn teollisuustuotannon kasvun taus- talla vaikuttavien eripituisten syklien tunnistamiseen Kanadassa, Suomessa ja Yhdysvalloissa. Lopuksi pohditaan menetelmn tulevaisuutta ja mahdollisisia muita sovelluksia taloustieteiss. Avainsanat: tilastollinen menetelm, multiresoluutioanalyysi, allokkeet, suh- dannevaihtelut, taloudellinen kasvu JEL-luokittelu: C19, C65, C87, E32 5 Contents Abstract....................................................................................................................3 Tiivistelm ...............................................................................................................4 Tiivistelm ....
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This note was uploaded on 10/24/2011 for the course SCIENCE PHY 453 taught by Professor Barnard during the Winter '11 term at BYU.

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ssrn-id787564 - Patrick Crowley An intuitive guide to...

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