Öller, L-E and Stockhammar, P (2009): On the Probability Distribution of Economic Growth.
Download (710kB) | Preview
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:||?? C16 ??|
|Depositing User:||L-E Öller|
|Date Deposited:||12. Nov 2009 16:46|
|Last Modified:||20. Feb 2013 22:12|
Aghion, P. and Howitt, P. (1992) A model of growth through creative destruction. Econometrica, 60, 323-351. Aghion, P. and Howitt, P. (1998) Endogenous growth theory. The MIT press, Cambridge.
Dyer, A. R. (1974). Comparisons of tests for normality with a cautionary note. Biometrika, 61, 185-189.
Fryer, J. G. and Robertson, C. A. (1972) A comparison of some methods for estimating mixed normal distributions, Biometrika, 59, 639-648.
Grossman, G. and Helpman, E. (1991) Quality ladders in the theory of growth. Review of Economic Studies, 63, 43-61.
Helpman, E. and Trajtenberg, M. (1994) A Time to Sow and a Time to Reap: Growth Based on the General Purpose Technologies. Centre for Economic Research Policy, working paper no. 1080.
Hodrick, R. J. and Prescott, E. C. (1997) Postwar U.S. business cycles: An empirical investigation. Journal of Money, Credit and Banking, 29, 1-16.
Hyndman, R. J. and Koehler, A. B. (2006) Another look at measures of forecast accuracy. International Journal of Forecasting, 22, 679-688.
Jones, P. N. and McLachlan, G. J. (1990) Laplace-normal mixtures fitted to wind shear data. Journal of Applied Statistics, 17, 271-276.
Kanji, G. K. (1985) A mixture model for wind shear data. Journal of Applied Statistics, 12, 49-58.
Kotz, S. Kozubowski, T. J. and Podgorski, K. (2001) The Laplace distribution and generalizations: a revisit with applications to communications, economics, engineering, and finance. Birkhäuser, Boston.
Kozubowski, T. J. and Podgorski, K. (1999) A class of asymmetric distributions. Actuarial Research Cleraring House,1, 113-134.
Kozubowski, T. J. and Podgorski, K. (2000) Asymmetric Laplace distributions. The Mathematical Scientist, 25, 37-46.
Linden, M. (2001) A model for stock return distribution. International Journal of Finance and Economics, 6, 159-169. Lucas, R. E. (1988) On the Mechanics of Economic Development. Journal of Monetary Economy, 22, 3-42.
Makridakis, S. (1993) Accuracy measures: theoretical and practical concerns. International Journal of Forecasting, 9, 527-529.
Maliar, L. and Maliar, S. (2004) Endogenous growth and endogenous business cycles. Macroeconomic Dynamics, 8, 559-581.
McGill, W. J. (1962) Random fluctuations of response rate. Psychometrika, 27, 3-17.
Öller, L-E. and Stockhammar, P. (2007) A heteroscedasticity removing filter. Research Report 2007:1, Department of Statistics, Stockholm university.
Pearson, K. (1895) Contributions to the mathematical theory of evolution, 2: skew variation. Philosophical Transactions of the Royal Society of London (A), 186, 343-414.
Reed, W. J. and Jorgensen, M. A. (2004) The double Pareto-lognormal distribution - A new parametric model for size distributions. Communications in Statistics: Theory and Methods, 33(8), 1733-1753.
Romer, P. M. (1986) Increasing Returns and Long-Run Growth. Journal of Political Economy, 94, 1002-1037.
Schumpeter, J. A. (1942) Capitalism, Socialism and Democracy. Harper, New York.
Segerstrom, P. Anant, T. Dinopoulos, E. (1990) A Shumpeterian model of the product life cycle. American Economic Review, 80, 1077-1091.
Silverman, B. W. (1986) Density estimation for statistics and data analysis. Chapman and Hall, London.
Yu, K. and Zhang, J. (2005) A three-parameter asymmetric Laplace distribution and its extension. Communications in Statistics-Theory and Methods, 34, 1867-1879.