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Decomposing changes in the conditional variance of GDP over time

Shahram Amini, Michele Battisti and Christopher Parmeter

Economic Modelling, 2017, vol. 61, issue C, 376-387

Abstract: A well established fact in the growth empirics literature is the increasing (unconditional) variation in output per capita across countries. We propose a nonparametric decomposition of the conditional variation of output per capita across countries to capture different channels over which the variation might be increasing. We find that OECD countries have experienced diminishing conditional variation while other regions have experienced increasing conditional variation. Our decomposition suggests that most of these changes in the conditional variance of output are due to unobserved factors not accounted for by the traditional growth determinants. In addition to this we show that these factors played very different roles over time and across regions.

Keywords: Generalized Kernel; Nonparametric; Conditional variation (search for similar items in EconPapers)
JEL-codes: C14 G0 O50 (search for similar items in EconPapers)
Date: 2017
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