On the Probability Distribution of Economic Growth
AbstractNormality 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 a Normal, a Normal-Mixture and Normal-Asymmetric Laplace (NAL) distributions. NAL represents a reduced and empirical form of 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 18581.
Date of creation: 2009
Date of revision:
The Aghion-Howitt model; asymmetric innovations; mixed normal- asymmetric Laplace distribution; Kernel density estimation; Method of Moments estimation.;
Find related papers by JEL classification:
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
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