Wavelet Analysis of Economic Time Series
Author
Summary, in English
Chapter 2 of the dissertation introduces a new estimator for cointegrated panel data models. The estimator uses first-differenced data to avoid spurious regressions, and the properties of the wavelet domain to identify different time horizons in the data and to estimate a separate model for each. Simulations show that the proposed estimator is better than common cointegration estimators.
Chapter 3 focuses on whether long run money growth contains information about future headline inflation. The analysis shows that money and inflation are related one-to-one in the long run and that there is approximately a two year lag between an increase in the money stock and inflation.
Chapter 4 introduces a new estimate of core inflation. Inflation is a monetary phenomenon in the long run, but not in the short run. Core inflation is a short run estimate of the monetary inflation rate. Existing estimates of core inflation often fail to account for relative price changes when they estimate core inflation and are therefore likely to be poor estimates of monetary inflation. The proposed estimate of monetary inflation accounts for relative price changes and uses a wavelet based signal extraction algorithm to estimate the monetary inflation rate.
Chapter 5, co-authored with Thomas Elger, studies freight transportation activity in Sweden and relates it to key economic variables. It shows that there is a strong correlation between short run and medium run fluctuations in the economy and freight transportation. There is also a relationship in the long run, but it is not as strong as for the shorter horizons.
The Technical Appendix at the end of the dissertation discusses the frequency domain, Fourier transforms, and wavelet transforms in general.
Department/s
Publishing year
2008
Language
English
Publication/Series
Lund Economic Studies
Volume
149
Document type
Dissertation
Publisher
Department of Economics, Lund University
Topic
- Economics
Keywords
- freight transportation activity
- wavelet analysis
- cointegration
- inflation
- bandspectrum regression
- money
- coreinflation
Status
Published
Supervisor
ISBN/ISSN/Other
- ISSN: 0460-0029
Defence date
20 December 2008
Defence time
10:15
Defence place
Ekonomihögskolan, Lunds Universitet, EC3:211
Opponent
- Ghazi Shukur (Professor)