On the robustness of the fat-tailed distribution of firm growth rates: a global sensitivity analysis

Giovanni Dosi, Marcelo Pereira and Maria Enrica Virgillito

LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy

Abstract: Firms grow and decline by relatively lumpy jumps which cannot be accounted by the cumulation of small, 'atom-less', independent shocks. Rather 'big' episodes of expansion and contraction are relatively frequent. More technically, this is revealed by fat tail distributions of growth rates. This applies across different levels of sectoral disaggregation, across countries, over different historical periods for which there are available data. What determines such property? In Dosi et al. (2015) we implemented a simple multi-firm evolutionary simulation model, built upon the coupling of a replicator dynamic and an idiosyncratic learning process, which turns out to be able to robustly reproduce such a stylized fact. Here, we investigate, by means of a Kriging meta-model, how robust such 'ubiquitousness' feature is with regard to a global exploration of the parameters space. The exercise confirms the high level of generality of the results in a statistically robust global sensitivity analysis framework.

Keywords: Firm Growth Rates; Fat Tail Distributions; Kriging Meta-Modeling; Near-Orthogonal Latin Hypercubes; Variance-Based Sensitivity Analysis (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-tid
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36)

Downloads: (external link)
http://www.lem.sssup.it/WPLem/files/2016-12.pdf (application/pdf)

Related works:
Journal Article: On the robustness of the fat-tailed distribution of firm growth rates: a global sensitivity analysis (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ssa:lemwps:2016/12

Access Statistics for this paper

More papers in LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Contact information at EDIRC.
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).