Measuring business cycles: A wavelet analysis of economic time series

Economics Letters

Volumn 100, Issue 2, 2008, Pages 208-212

  Yogo, Motohiro ^a,b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Band pass filter; Business cycle; Linear filter; Trend; Wavelets

Indexed keywords

EID: 69949180454     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2008.01.008     Document Type: Article

References (6)

1. Baxter M., and King R.G. Measuring business cycles: approximate band-pass filters for economic time series. Review of Economics and Statistics 81 4 (1999) 575-593
2. Kim C.-J., and Nelson C.R. Has the U.S. economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle. Review of Economics and Statistics 81 4 (1999) 608-616
3. McConnell M.M., and Perez-Quiros G. Output fluctuations in the United States: what has changed since the early 1980's?. American Economic Review 90 5 (2000) 1461-1476
4. Percival D.B., and Walden A.T. Wavelet methods for time series analysis. Cambridge Series in Statistical and Probabilistic Mathematics (2000), Cambridge University Press, Cambridge
5. Stock J.H., and Watson M.W. Has the business cycle changed and why?. In: Gertler M., and Rogoff K. (Eds). NBER Macroeconomics Annual 2002 (2003), MIT Press, Cambridge, MA
6. Strang G., and Nguyen T. Wavelets and Filter Banks (1997), Wellesley-Cambridge Press, Wellesly, MA