Measuring business cycles: A wavelet analysis of economic time series

被引：68
|
作者：
Yogo, Motohiro [1 ,2 ]
机构：
[1] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA
[2] Natl Bur Econ Res, Cambridge, MA 02138 USA
来源：
ECONOMICS LETTERS | 2008年 / 100卷 / 02期
关键词：
band-pass filter; business cycle; linear filter; trend; wavelets;
D O I：
10.1016/j.econlet.2008.01.008
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2008 Elsevier B. V. All rights reserved.
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页码：208 / 212
页数：5
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