Öller, L-E and Stockhammar, P (2009): On the Probability Distribution of Economic Growth.
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Normality is often mechanically and without sufficient reason assumed in econometric models. In this paper three important and significantly heteroscedastic GDP series are studied. Heteroscedasticity is removed and the distributions of the filtered series are then compared to a Normal, a Normal-Mixture and Normal-Asymmetric Laplace (NAL) distributions. NAL represents a reduced and empirical form of the Aghion and Howitt (1992) model for economic growth, based on Schumpeter's idea of creative destruction. Statistical properties of the NAL distributions are provided and it is shown that NAL competes well with the alternatives.
|Item Type:||MPRA Paper|
|Original Title:||On the Probability Distribution of Economic Growth|
|English Title:||On the Probability Distribution of Economic Growth|
|Keywords:||The Aghion-Howitt model, asymmetric innovations, mixed normal- asymmetric Laplace distribution, Kernel density estimation, Method of Moments estimation.|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C16 - Specific Distributions|
|Depositing User:||L-E Öller|
|Date Deposited:||12. Nov 2009 16:46|
|Last Modified:||20. Feb 2013 22:12|
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