Detrending and Output Growth-Rate Distributions
We investigate the statistical properties of output growth-rate distributions. Recent empirical contributions indicate that growth rates follow a Laplace distribution at different levels of aggregation, and, following this, we test whether output growth rates can be so approximated. We also ask whether our findings are robust to alternative means for detrending output series. Our analysis uses the Subbotin family of densities, which encompasses the Laplace and Gaussian distributions. We examine the distribution of output growth rates in the U. S. and in other developed countries. We find that the means used for detrending does affect the distribution of output growth rates. First-differenced growth rates follow a Laplace distribution, whereas the distributions of HP and bandpass-filtered growth rates have tails thinner than the Laplace
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||04 Jul 2006|
|Date of revision:|
|Contact details of provider:|| Web page: http://comp-econ.org/|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:76. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.