A Guide to Wavelets for Economists

61 Pages Posted: 21 Mar 2007

See all articles by Patrick M. Crowley

Patrick M. Crowley

Texas A&M University - Corpus Christi; Bank of Finland/Suomen Pankki

Abstract

Wavelet analysis, although used extensively in disciplines such as signal processing, engineering, medical sciences, physics and astronomy, has not fully entered the economics discipline yet. In this survey article, wavelet analysis is introduced in an intuitive manner, and the existing economics and finance literature that utilizes wavelets is surveyed and explored. Extensive examples of exploratory wavelet analysis are given, most using Canadian, US and Finnish industrial production data. Finally, potential and possible future applications for wavelet analysis in economics are discussed.

Suggested Citation

Crowley, Patrick M., A Guide to Wavelets for Economists. Journal of Economic Surveys, Vol. 21, No. 2, pp. 207-267, April 2007. Available at SSRN: https://ssrn.com/abstract=975366 or http://dx.doi.org/10.1111/j.1467-6419.2006.00502.x

Patrick M. Crowley (Contact Author)

Texas A&M University - Corpus Christi ( email )

6300 Ocean Drive, Unit #5808
Corpus Christi, TX 78412
United States

HOME PAGE: http://patrickmcrowley.com

Bank of Finland/Suomen Pankki ( email )

P.O. Box 160
FIN-00101 Helsinki
Finland

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