The durations of recession and prosperity: What distribution do they follow?

Michele Campolieti

Physica A: Statistical Mechanics and its Applications, 2019, vol. 534, issue C

Abstract: I study the duration of periods of prosperity and recessions from twenty-one leading economies and determine what distribution is a reasonable and plausible fit for these duration data. The earlier literature has focused on the power law and exponential distributions for these duration data. I consider these two distributions as well as two alternative distributions. However, unlike earlier papers, I use a maximum likelihood framework that estimates and evaluates the fit of each of these candidate distributions as well as allowing for model comparison tests to compare a particular distribution against competing distributions.

Keywords: Power law (Pareto) distributions; Exponential distributions; Lognormal distributions; Weibull distributions; Model comparison tests (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119304376

DOI: 10.1016/j.physa.2019.04.057

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