Publication detail

Tilfani, O. & Kristoufek, L. & Ferreira, P. & El Boukfaoui, M.Y.: Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D., Tilfani, O.; Ferreira, P.; El Boukfaoui, M.Y.
Type: Articles in journals with impact factor
Year: 2021
Number: 0
ISSN / ISBN:
Published in: Physica A: Statistical Mechanics and its Applications 588:126530 PDF
Publishing place:
Keywords: Detrended fluctuation analysis, Heterogeneity, Multivariate fractal regression, Scale-dependent effects
JEL codes:
Suggested Citation:
Abstract: Heterogeneity of effects between economic variables has been a frequently discussed topic for many years now. However, the estimation of such scale-dependent effects has proved challenging. Here, we propose a multivariate multiscale regression approach based on the combination of detrended fluctuation analysis and detrended cross-correlation analysis, but the idea can be easily translated into other time and frequency domain frameworks. As illustrations, we pick two classic economic models – the Taylor’s rule and the money demand function for the USA and Japan – and we uncover evident scale-dependence in the individual effects not visible by the simple regression tools. Importantly, the proposed framework can be used in any discipline where studying the effects at various scales is of interest. Further applications are thus certainly at hand.
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