Abstract
In this paper we re-examine the spectral properties of some indices of production and of the Standard and Poor’s 500 stock market index. We use some new procedures for estimating spectra that are more efficient and more powerful than the conventional fast Fourier transform (FFT) approach or those using the sample autocorrelation function. The data examined are the growth rates in the monthly production indices for durable goods and nondurable goods production, manufacturing, mining, and the monthly stock market index; the real indices begin in 1919 and end in 1988, the stock market index begins in 1926 and also ends in 1988. We also are able to examine the new series because the AR(1) coefficient is sufficiently below a unit root to enable us to obtain useful spectral results. Some new techniques are used to examine the extent of nonstationarity in these data.
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Ramsey, J.B., Thomson, D.J. (1999). A Reanalysis of the Spectral Properties of Some Economic and Financial Time Series. In: Rothman, P. (eds) Nonlinear Time Series Analysis of Economic and Financial Data. Dynamic Modeling and Econometrics in Economics and Finance, vol 1. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5129-4_3
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DOI: https://doi.org/10.1007/978-1-4615-5129-4_3
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