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Do Kondratieff waves exist? How time series techniques can help to solve the problem

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  • Rainer Metz

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    (GESIS Leibniz Institute for the Social Sciences, Liliencronstr. 6, 50931 Cologne, Germany)

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    Abstract

    Although the long-wave phenomenon has long been discussed in economic, social and political sciences, there is still highly controversial discussion about the methods of providing empirical evidence of such swings as regular cycles in economic time series. This article gives an overview about the historical development of time series methods to investigate such long-term oscillations in historical time series and to proof their regularity. It starts with a brief presentation of the methods used by Kondratieff and shows them in the context of classical business cycle analysis. It continues with ARIMA methodology and spectral analysis, which have been found to be appropriate when long waves are conceived as growth cycles. We then introduce the filter-design approach that was seen as a perfect solution to the hitherto unsolved problem of dividing trend and long waves in the low-frequency domain. A detailed discussion of the stochastic trend hypothesis and its relevance for long-wave analysis follows before outliers and trend breaks within stochastic models and their relevance for long waves are illustrated by means of the GDP per capita of the United Kingdom for 1830–2006.

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    File URL: http://dx.doi.org/10.1007/s11698-010-0057-9
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    Bibliographic Info

    Article provided by Association Française de Cliométrie (AFC) in its journal Cliometrica, Journal of Historical Economics and Econometric History.

    Volume (Year): 5 (2011)
    Issue (Month): 3 (October)
    Pages: 205-238

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    Handle: RePEc:afc:cliome:v:5:y:2011:i:3:p:205-238

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    Web page: http://www.cliometrie.org
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    Related research

    Keywords: Kondratieff cycles; Long waves; Time series methodology; United Kingdom;

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    References

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    1. Darne, Olivier & Diebolt, Claude, 2004. "Unit roots and infrequent large shocks: new international evidence on output," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1449-1465, October.
    2. Ben-David, Dan & Papell, David H., 1995. "The great wars, the great crash, and steady state growth: Some new evidence about an old stylized fact," Journal of Monetary Economics, Elsevier, vol. 36(3), pages 453-475, December.
    3. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
    4. Galor, Oded, 2004. "From Stagnation to Growth: Unified Growth Theory," CEPR Discussion Papers 4581, C.E.P.R. Discussion Papers.
    5. Dan Ben-David & Robin L. Lumsdaine & David H. Papell, 1998. "Unit Roots, Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks," NBER Working Papers 6397, National Bureau of Economic Research, Inc.
    6. van Ewijk, Casper, 1982. "A Spectral Analysis of the Kondratieff-Cycle," Kyklos, Wiley Blackwell, vol. 35(3), pages 468-99.
    7. Kim, Dukpa & Perron, Pierre, 2009. "Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses," Journal of Econometrics, Elsevier, vol. 148(1), pages 1-13, January.
    8. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
    9. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    10. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
    11. Norbert KRIEDEL, 2009. "Long Waves of Economic Development and the Diffusion of General-Purpose Technologies: The Case of Railway Networks," Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 40, pages 877-900, May.
    12. Olivier Darné & Claude Diebolt, 2006. "Cliometrics of Academic Careers and the Impact of Infrequent Large Shocks in Germany before 1945," Working Papers 06-01, Association Française de Cliométrie (AFC).
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    Cited by:
    1. Tausch, Arno, 2013. "The hallmarks of crisis. A new center-periphery perspective on long cycles," MPRA Paper 48356, University Library of Munich, Germany.

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