Sulle distribuzioni dei tassi di crescita dell’output aggregato: un’analisi per Stati Uniti e Italia

Giorgio Fagiolo (), Mauro Napoletano and Andrea Roventini

Rivista Internazionale di Scienze Sociali, 2007, vol. 115, issue 2, 215-241

Abstract: This work investigates the statistical properties of aggregate output growth rates in the U.S. and Italy. We show that in both countries growth rates follow an exponential-power density, with tails that are fatter than a normal distribution. Furthermore, fat tails appear to be robust with respect to: (i) the output measure employed in the analysis; (ii) the presence of outliers, autocorrelation and heteroscedasticity; (iii) the family of theoretical density employed in the analysis. Finally, we discuss the implications of our findings for economics and econometrics.

Keywords: Distribution of output growth rates; Time-Series; Fat Tails; Exponential-Power Distribution; Output Dynamics. (search for similar items in EconPapers)
JEL-codes: C1 E3 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:vep:journl:y:2007:v:115:i:2:p:215-241

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