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

Carlos A. Medel ()

Applied Economics Letters, 2014, vol. 21, issue 14, 1017-1024

Abstract: 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.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2014.904486 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:21:y:2014:i:14:p:1017-1024

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2014.904486

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().