Detrending and Output Growth-Rate Distributions

Giorgio Fagiolo (), Mauro Napoletano and Andrea Roventini

No 76, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: We investigate the statistical properties of output growth-rate distributions. Recent empirical contributions indicate that growth rates follow a Laplace distribution at different levels of aggregation, and, following this, we test whether output growth rates can be so approximated. We also ask whether our findings are robust to alternative means for detrending output series. Our analysis uses the Subbotin family of densities, which encompasses the Laplace and Gaussian distributions. We examine the distribution of output growth rates in the U. S. and in other developed countries. We find that the means used for detrending does affect the distribution of output growth rates. First-differenced growth rates follow a Laplace distribution, whereas the distributions of HP and bandpass-filtered growth rates have tails thinner than the Laplace

Keywords: output growth-rate distributions; detrending techniques; Laplace distribution; cross-country analysis (search for similar items in EconPapers)
JEL-codes: C1 E3 (search for similar items in EconPapers)
Date: 2006-07-04
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:76

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