Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models
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- WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "Cross-Country Evidence On Output Growth Volatility: Nonstationary Variance And Garch Models," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(4), pages 509-541, September.
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More about this item
Keywords
Nonstationary variance; the Great Moderation; real GDP growth and volatility; modified ICSS algorithm; IGARCH effect;JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2007-06-11 (All new papers)
- NEP-BEC-2007-06-11 (Business Economics)
- NEP-MAC-2007-06-11 (Macroeconomics)
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