How do output growth-rate distributions look like? Some cross-country, time-series evidence

European Physical Journal B

Volumn 57, Issue 2, 2007, Pages 205-211

  Fagiolo, G ^a,b   Napoletano, M ^b,c   Roventini, A ^b,d  

^a UNIVERSITY OF VERONA   (Italy)

^b SCUOLA SUPERIORE SANT ANNA   (Italy)

^c ETH ZURICH   (Switzerland)

^d UNIVERSITY OF MODENA AND REGGIO EMILIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

GROSS DOMESTIC PRODUCT (GDP); INDUSTRIAL PRODUCTION; LAPLACE DISTRIBUTIONS; ORGANIZATION FOR ECONOMIC COOPERATION AND DEVELOPMENT (OECD);

APPROXIMATION THEORY; AUTOCORRELATION; GAUSSIAN DISTRIBUTION; INDUSTRIAL ECONOMICS; INDUSTRIAL MANAGEMENT; LAPLACE EQUATION; PRODUCTIVITY; SOCIETIES AND INSTITUTIONS; TIME SERIES ANALYSIS;

ECONOMIC AND SOCIAL EFFECTS;

EID: 34250318266     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2007-00153-0     Document Type: Article

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32. More on fitting Subbotin distributions to economic data is in [5,6]
33. The period of strong growth experienced by the US economy after World War 11 is probably responsible for the positive location parameter 771 (0.0082), which implies a positive sample average growth rate
34. IP tracks very closely GDP in almost all countries. More precisely, the GDP-1P cross-correlation profile mimics from time t - 6 to time t + 6 the GDP auto-correlation profile
35. Cramér-Rao bounds are also graphically reported in Figure 5 at lag t - 1
36. See [13] for details. Our exercises also show that fat tails emerge not only for the EP density, but also if one fits alternative families of heavy-tailed distributions (e.g. Cauchy, Student-t, Levy-stable). However, such alternative fat- and medium-tailed densities perform worse than the EP in fitting our data according to GoF tests
37. Again, all these results are confirmed by both GoF and likelihood ratio tests, see [13] for details
38. Another exception is Denmark, where the upper bound of its b̂-interval is slightly below one
39. As shown in [13], likelihood ratio tests reject the hypothesis that data come from asymmetric EP densities
40. Two rather undisputed stylized facts of output dynamics - at least for the US -are: (i) GNP growth is positively autocorrelated over short horizons and has a weak and possibly insignificant negative autocorrelation over longer horizons; (ii) GNP appears to have an important trendreverting component [18-23]
41. Such as Gibrat-like regressions for the dependence of firm growth on size [30] and cross-section country growth-rate analyses [31]