On the Probability Distribution of Economic Growth

Lars-Erik Öller and P Stockhammar

MPRA Paper from University Library of Munich, Germany

Abstract: Normality 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.

Keywords: The Aghion-Howitt model; asymmetric innovations; mixed normal- asymmetric Laplace distribution; Kernel density estimation; Method of Moments estimation. (search for similar items in EconPapers)
JEL-codes: C16 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: On the probability distribution of economic growth (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:18581

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