Arbeitspapier
Are output growth-rate distributions fat-tailed? Some evidence from OECD countries
This work explores some distributional properties of aggregate output growth-rate time series. We show that, in the majority of OECD countries, output growth-rate distributions are well-approximated by symmetric exponential-power densities with tails much fatter than those of a Gaussian. Fat tails robustly emerge in output growth rates independently of: (i) the way we measure aggregate output; (ii) the family of densities employed in the estimation; (iii) the length of time lags used to compute growth rates. We also show that fat tails still characterize output growth-rate distributions even after one washes away outliers, autocorrelation and heteroscedasticity.
- Sprache
-
Englisch
- Erschienen in
-
Series: LEM Working Paper Series ; No. 2006/23
- Klassifikation
-
Wirtschaft
- Thema
-
Output Growth-Rate Distributions
Normality
Fat Tails
Time Series
Exponential-Power Distributions
Laplace Distributions
Output Dynamics
Wirtschaftswachstum
Zeitreihenanalyse
OECD-Staaten
Statistische Verteilung
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fagiolo, Giorgio
Napoletano, Mauro
Roventini, Andrea
- Ereignis
-
Veröffentlichung
- (wer)
-
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
- (wo)
-
Pisa
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fagiolo, Giorgio
- Napoletano, Mauro
- Roventini, Andrea
- Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
Entstanden
- 2006
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