Time–Frequency Regression
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Yoshito Funashima
Abstract
Wavelet analysis is widely used to trace macroeconomic and financial phenomena in time–frequency domains. However, existing wavelet measures diverge from conventional regression estimators. Furthermore, a direct comparison between wavelet and traditional regression analyses is difficult. In this study, we modify the partial wavelet gain to provide an estimator that corresponds to the ordinary least squares estimator at each point of the time–frequency space. We argue that from the viewpoint of practical applications, the modified partial wavelet gain is suitable for contemporary regressions across time and frequencies, whereas the original partial wavelet gain is suitable for evaluating an aggregate relationship of contemporaneous and lead-lag relationships.
Funding source: Japan Society for the Promotion of Science
Award Identifier / Grant number: 17K03770, 18K01696
Acknowledgments
The author is extremely grateful to an anonymous referee and Raffaella Giacomini (the Editor) for very important comments that greatly improved this paper. The author also thanks Takeo Hori, Daichi Shirai, Kouki Sugawara, and Kizuku Takao for their helpful comments early on in the course of this study. This work was supported by Grants-in-Aid for Scientific Research by the Japan Society for the Promotion of Science (No. 17K03770, 18K01696). The usual disclaimer applies.
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© 2020 Walter de Gruyter GmbH, Berlin/Boston
Artikel in diesem Heft
- Frontmatter
- Research Articles
- Identification of Non-Equilibrium Beliefs in Games of Incomplete Information Using Experimental Data
- Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility
- Time–Frequency Regression
- Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages
- Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models
- Identifying Causal Channels of Policy Reforms with Multiple Treatments and Different Types of Selection
- Teaching Corner
- Econometrics Pedagogy and Cloud Computing: Training the Next Generation of Economists and Data Scientists
Artikel in diesem Heft
- Frontmatter
- Research Articles
- Identification of Non-Equilibrium Beliefs in Games of Incomplete Information Using Experimental Data
- Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility
- Time–Frequency Regression
- Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages
- Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models
- Identifying Causal Channels of Policy Reforms with Multiple Treatments and Different Types of Selection
- Teaching Corner
- Econometrics Pedagogy and Cloud Computing: Training the Next Generation of Economists and Data Scientists
