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Critical Analysis of the Thesis for the Long Waves of Kondratiev

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  • Liubomir Ivanov
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    Abstract

    The main purpose of this paper is “long wave” thesis proposed by Kondratieff in 1926. Analysis begins with close examination of methods used by Kondratieff for trend removal and extraction of cyclical components. The presence of unit root and improper trend elimination procedures are considered as well as usage of “nine years moving average” filter which both can lead to spurious cycles with long periods. Theoretical conclusions for improper trend removal are backed by detail examination of tendency in 14 economic time series analyzed by Kondratieff. It is shown that they all are integrated of first order and differencing is needed to achieve stationarity instead of regression on time. The spectral analysis of transformed series shows that the cyclical components presented are only “Kitchin” and “Juglar” types. Waves longer then 30 years does not exist in the data so the main Kondratieff thesis should be considered unproved.

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    Bibliographic Info

    Article provided by Bulgarian Academy of Sciences - Economic Research Institute in its journal Economic Studies.

    Volume (Year): (2001)
    Issue (Month): 1 ()
    Pages: 28-63

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    Handle: RePEc:bas:econst:y:2001:i:1:p:28-63

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    1. Nelson, Charles R & Kang, Heejoon, 1981. "Spurious Periodicity in Inappropriately Detrended Time Series," Econometrica, Econometric Society, vol. 49(3), pages 741-51, May.
    2. Hatanaka, Michio & Howrey, E Philip, 1969. "Low Frequency Variation in Economic Time Series," Kyklos, Wiley Blackwell, vol. 22(4), pages 752-66.
    3. Chan, K Hung & Hayya, Jack C & Ord, J Keith, 1977. "A Note on Trend Removal Methods: The Case of Polynomial Regression versus Variate Differencing," Econometrica, Econometric Society, vol. 45(3), pages 737-44, April.
    4. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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