Measuring Business Cycles: A Wavelet Analysis of Economic Time Series
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Econometrics
Finance and Financial Management
Finance and Financial Management
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Abstract
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.
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2008-01-01
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Economics Letters