Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/260012 
Year of Publication: 
2011
Series/Report no.: 
Working Paper No. 2011:22
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
In economics it is common to distinguish between different time horizons (i.e. short run, medium run, and long run). Engle (1974) proposed combining the discrete Fourier transform with a band spectrum regression to estimate models that separates between different time horizons. In this paper we discuss possibilities and challenges using the maximal overlap discrete wavelet transform instead of the Fourier transform when estimating band spectrum regressions.
Subjects: 
band spectrum regression
wavelet transform
frequency domain
economic modeling
JEL: 
C14
C32
C51
Document Type: 
Working Paper

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