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On the typical spectral shape of an economic variable

  • Daniel Levy
  • Hashem Dezhbakhsh

In a classic article, Granger (Econometrica 34, 1966) asserted that most economic time series measured in level have spectra that exhibit a smooth declining shape with considerable power at very low frequencies. There has been no systematic attempt to examine Granger's assertion with international data. Output level spectra are estimated for 58 countries, divided into developed, high-income developing, and low-income developing groups. The shapes of the estimated spectra are found to be strikingly similar to Granger's typical shape, particularly for the developed countries.

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Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 10 (2003)
Issue (Month): 7 ()
Pages: 417-423

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Handle: RePEc:taf:apeclt:v:10:y:2003:i:7:p:417-423
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  1. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Granger, C.W.J. & Watson, Mark W., 1984. "Time series and spectral methods in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 17, pages 979-1022 Elsevier.
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  4. Daniel Levy & Haiwei Chen, 2005. "Estimates of the Aggregate Quarterly Capital Stock for the Post- War U.S. Economy," Others 0505008, EconWPA, revised 16 May 2005.
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