Measuring business cycles: a wavelet analysis of economic time series. (English) Zbl 1255.91372

Summary: 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.


91B84 Economic time series analysis
65T60 Numerical methods for wavelets
91B82 Statistical methods; economic indices and measures


Full Text: DOI Link


[1] Baxter, M.; King, R. G., Measuring business cycles: approximate band-pass filters for economic time series, Review of Economics and Statistics, 81, 4, 575-593 (1999)
[2] Kim, C.-J.; Nelson, C. R., Has the U.S. economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle, Review of Economics and Statistics, 81, 4, 608-616 (1999)
[3] McConnell, M. M.; Perez-Quiros, G., Output fluctuations in the United States: what has changed since the early 1980’s?, American Economic Review, 90, 5, 1461-1476 (2000)
[4] Percival, D. B.; Walden, A. T., Wavelet methods for time series analysis, (Cambridge Series in Statistical and Probabilistic Mathematics (2000), Cambridge University Press: Cambridge University Press Cambridge) · Zbl 0996.62085
[5] Stock, J. H.; Watson, M. W., Has the business cycle changed and why?, (Gertler, M.; Rogoff, K., NBER Macroeconomics Annual 2002 (2003), MIT Press: MIT Press Cambridge, MA)
[6] Strang, G.; Nguyen, T., Wavelets and Filter Banks (1997), Wellesley-Cambridge Press: Wellesley-Cambridge Press Wellesly, MA · Zbl 1254.94002
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.