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The Typical Spectral Shape of an Economic Variable: A Visual Guide with 100 Examples

Carlos A. Medel ()

MPRA Paper from University Library of Munich, Germany

Abstract: Granger (1966) describes how the spectral shape of an economic variable concentrates spectral mass at low frequencies, declining smoothly as frequency increases. Despite a discussion about how to assess robustness of his results, the empirical exercise focused on the evidence obtained from a handful of series. In this paper, I focus on a broad range of economic variables to investigate their spectral shape. Hence, through different examples taken from both actual and simulated series, I provide an intuition of the typical spectral shape of a wide range of economic variables and the impact of their typical treatments. After performing 100 different exercises, the results show that Granger's assertion holds more often than not. I also confirm that the basic shape holds for a number of transformations, time aggregations, series' anomalies, variables of the real economy, and also, but to a lesser extent, financial variables. Especially fuzzy cases are those that exhibit some degree of transition to a different regime, as are those estimated with a very short bandwidth.

Keywords: Frequency domain; spectral analysis; nonparametric econometrics; busness cylces (search for similar items in EconPapers)
JEL-codes: A20 C02 C14 E32 (search for similar items in EconPapers)
Date: 2014-02-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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