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On the typical spectral shape of an economic variable

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  • Daniel Levy

    (RCEA - Rimini Center for Economic Analysis, Emory University [Atlanta, GA], Bar-Ilan University [Israël])

  • Hashem Dezhbakhsh

    (Emory University [Atlanta, GA])

Abstract

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.

Suggested Citation

  • Daniel Levy & Hashem Dezhbakhsh, 2003. "On the typical spectral shape of an economic variable," Post-Print hal-02386554, HAL.
    • Handle: RePEc:hal:journl:hal-02386554
    DOI: 10.1080/1350485032000102187
    Note: View the original document on HAL open archive server: https://hal.science/hal-02386554
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    References listed on IDEAS

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    More about this item

    Keywords

    Spectral Analysis; Spectral Shape; Output Level; OECD; Developing Countries; Spectrum;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
    • O57 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Comparative Studies of Countries

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