On the Typical Spectral Shape of an Economic Variable

Daniel Levy () and Hashem Dezhbakhsh

Macroeconomics from EconWPA

Abstract: In a classical article, Granger (1966) argued that the levels of most economic time series have spectra that exhibit a smooth declining shape with considerable power at very low frequencies. He termed it "the typical spectral shape of an economic variable." Granger's assertion has not been examined systematically with international data. We estimate output level spectra for 58 countries, divided into developed, high- income developing, and low-income developing groups. We find the shapes of the estimated spectra to be strikingly similar to Granger's typical shape, particularly for the developed countries.

Keywords: Spectral Analysis; Spectral Shape; Power Spectrum; Frequency Domain Analysis; Typical Spectral Shape; Output Level; OECD; Developing Countries; Spectral Peak; Common Features (search for similar items in EconPapers)
JEL-codes: C22 C40 E32 E50 E60 O11 O40 O57 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2004-02-07
Note: Type of Document - pdf; prepared on Win 98; to print on Any printer; pages: 17; figures: Figures are included
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Journal Article: On the typical spectral shape of an economic variable (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpma:0402017

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