Measuring Business Cycles: A Wavelet Analysis of Economic Time Series
Princeton University - Department of Economics; National Bureau of Economic Research
January 8, 2008
Economics Letters, Vol. 100, No. 2, 2008
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.
Number of Pages in PDF File: 11
Keywords: Band-pass filter, Business cycle, Linear filter, Trend, Wavelets
JEL Classification: C5, E3
Date posted: April 16, 2008 ; Last revised: January 7, 2011
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