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Sulle distribuzioni dei tassi di crescita dell’output aggregato: un’analisi per Stati Uniti e Italia

Author

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  • G. FAGIOLO
  • M. NAPOLETANO
  • A. ROVENTINI

Abstract

This work investigates the statistical properties of aggregate output growth rates in the U.S. and Italy. We show that in both countries growth rates follow an exponential-power density, with tails that are fatter than a normal distribution. Furthermore, fat tails appear to be robust with respect to: (i) the output measure employed in the analysis; (ii) the presence of outliers, autocorrelation and heteroscedasticity; (iii) the family of theoretical density employed in the analysis. Finally, we discuss the implications of our findings for economics and econometrics.

Suggested Citation

  • G. Fagiolo & M. Napoletano & A. Roventini, 2007. "Sulle distribuzioni dei tassi di crescita dell’output aggregato: un’analisi per Stati Uniti e Italia," Rivista Internazionale di Scienze Sociali, Vita e Pensiero, Pubblicazioni dell'Universita' Cattolica del Sacro Cuore, vol. 115(2), pages 215-241.
    • Handle: RePEc:vep:journl:y:2007:v:115:i:2:p:215-241
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    More about this item

    Keywords

    Distribution of output growth rates; Time-Series; Fat Tails; Exponential-Power Distribution; Output Dynamics.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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