11 Pages Posted: 16 Apr 2008 Last revised: 7 Jan 2011
Date Written: January 8, 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.
Keywords: Band-pass filter, Business cycle, Linear filter, Trend, Wavelets
JEL Classification: C5, E3
Suggested Citation: Suggested Citation
Yogo, Motohiro, Measuring Business Cycles: A Wavelet Analysis of Economic Time Series (January 8, 2008). Economics Letters, Vol. 100, No. 2, 2008. Available at SSRN: https://ssrn.com/abstract=1120482