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Decomposing changes in the conditional variance of GDP over time

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  • Amini, Shahram
  • Battisti, Michele
  • Parmeter, Christopher F.

Abstract

A well established fact in the growth empirics literature is the increasing (unconditional) variation in output per capita across countries. We propose a nonparametric decomposition of the conditional variation of output per capita across countries to capture different channels over which the variation might be increasing. We find that OECD countries have experienced diminishing conditional variation while other regions have experienced increasing conditional variation. Our decomposition suggests that most of these changes in the conditional variance of output are due to unobserved factors not accounted for by the traditional growth determinants. In addition to this we show that these factors played very different roles over time and across regions.

Suggested Citation

  • Amini, Shahram & Battisti, Michele & Parmeter, Christopher F., 2017. "Decomposing changes in the conditional variance of GDP over time," Economic Modelling, Elsevier, vol. 61(C), pages 376-387.
  • Handle: RePEc:eee:ecmode:v:61:y:2017:i:c:p:376-387
    DOI: 10.1016/j.econmod.2016.10.016
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    More about this item

    Keywords

    Generalized Kernel; Nonparametric; Conditional variation;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G0 - Financial Economics - - General
    • O50 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - General

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