| Title: | On the Typical Spectral Shape of an Economic Variable* |
| Number: | 02-03 |
| Author: | Daniel Levy, Hashem Dezhbakhsh |
| Issue Date: | October 2000 |
| Abstract: | In a classic article, Granger (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. 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. |
Applied Economic Letters, 2003.
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