On the Typical Spectral Shape of an Economic Variable

Posted: 12 Feb 2003

See all articles by Daniel Levy

Daniel Levy

Bar-Ilan University - Department of Economics; Emory University - Department of Economics; Rimini Center for Economic Analysis

Hashem Dezhbakhsh

Emory University - Department of Economics

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: Typical Spectral Shape, Developed Countries, Developing Countries, Spectral Analysis, OECD

JEL Classification: E32, O40, O57

Suggested Citation

Levy, Daniel and Dezhbakhsh, Hashem, On the Typical Spectral Shape of an Economic Variable. Applied Economics Letters, Vol. 10, No. 7, pp. 417-423, May 2003. Available at SSRN: https://ssrn.com/abstract=372900

Daniel Levy

Bar-Ilan University - Department of Economics ( email )

Ramat-Gan, 5290002
Israel
+972 3 531-8345 (Phone)
+972 3 738-4034 (Fax)

HOME PAGE: http://econ.biu.ac.il/en/levy

Emory University - Department of Economics ( email )

1602 Fishburne Drive, Suite 306
Rich Building
Atlanta, GA 30322-0001
United States

HOME PAGE: http://economics.emory.edu/home/people/faculty/Levydaniel.html

Rimini Center for Economic Analysis ( email )

Wilfrid Laurier University
75 University Ave W.
Waterloo, Ontario N2L3C5
Canada

HOME PAGE: http://rcea.org/

Hashem Dezhbakhsh (Contact Author)

Emory University - Department of Economics ( email )

1602 Fishburne Drive
Atlanta, GA 30322
United States
404-727-4679 (Phone)
404-727-4639 (Fax)

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