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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.

MSC:

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

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References:

[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
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