On the Probability Distribution of Economic Growth
2008 (English)Report (Other academic)
Normality is often mechanically and without sufficient reason assumed in econometric models. In this paper three important and significantly heteroscedastic GDP series are studied. Heteroscedasticity is removed and the distributions of the filtered series are then compared to Normal, Normal Mixture and Normal - Asymmetric Laplace (NAL) distributions. NAL represents a skewed and leptokurtic distribution, which is in line with the Aghion and Howitt (1992) model for economic growth, based on Schumpeter's idea of creative destruction. Statistical properties of the NAL distributions are provided and it is shown that NAL competes well with the alternatives.
Place, publisher, year, edition, pages
Stockholm: Department of Statistics, Stockholm University , 2008. , 30 p.
Research Report / Department of Statistics, Stockholm University, ISSN 0280-7564 ; 5
The Aghion-Howitt model, asymmetric innovations, mixed Normal - Asymmetric Laplace distribution, Kernel density estimation, Method of Moments estimation
Probability Theory and Statistics
Research subject Statistics
IdentifiersURN: urn:nbn:se:su:diva-38646OAI: oai:DiVA.org:su-38646DiVA: diva2:311764