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The typical spectral shape of an economic variable: a visual guide

Listed author(s):
  • Carlos A. Medel

Granger (1966) describes how the spectral shape of an economic variable concentrates spectral mass at low frequencies, declining smoothly as frequency increases. His empirical exercise focused on the evidence obtained from a handful of series. In this article, I focus on a broad range of economic variables to investigate their spectral shape. After performing several exercises, the results show that Granger's assertion holds more often than not. Especially fuzzy cases are those that exhibit some degree of transition to a different regime, as are those estimated with a very short bandwidth.

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File URL: http://hdl.handle.net/10.1080/13504851.2014.904486
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Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 21 (2014)
Issue (Month): 14 (September)
Pages: 1017-1024

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Handle: RePEc:taf:apeclt:v:21:y:2014:i:14:p:1017-1024
DOI: 10.1080/13504851.2014.904486
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