Abstract
Wavelets are a new method of spectral analysis that have attracted considerable attention in numerous fields. Unlike Fourier methods, wavelets are designed to analyze data that is nonstationary and subject to abrupt changes. Since macroeconomic data frequently contains these characteristics, wavelets appear to be a natural tool for studying macroeconomic time series. This paper first describes wavelets in an intuitive manner, and then explores their use on macroeconomic data. Initial results are encouraging and more research is in order.
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© 1994 Springer Science+Business Media Dordrecht
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Goffe, W.L. (1994). Wavelets in Macroeconomics: An Introduction. In: Belsley, D.A. (eds) Computational Techniques for Econometrics and Economic Analysis. Advances in Computational Economics, vol 3. Springer, Dordrecht. https://doi.org/10.1007/978-94-015-8372-5_8
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DOI: https://doi.org/10.1007/978-94-015-8372-5_8
Publisher Name: Springer, Dordrecht
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