Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89359
Authors: 
Fagiolo, Giorgio
Napoletano, Mauro
Roventini, Andrea
Year of Publication: 
2006
Series/Report no.: 
LEM Working Paper Series 2006/23
Abstract: 
This work explores some distributional properties of aggregate output growth-rate time series. We show that, in the majority of OECD countries, output growth-rate distributions are well-approximated by symmetric exponential-power densities with tails much fatter than those of a Gaussian. Fat tails robustly emerge in output growth rates independently of: (i) the way we measure aggregate output; (ii) the family of densities employed in the estimation; (iii) the length of time lags used to compute growth rates. We also show that fat tails still characterize output growth-rate distributions even after one washes away outliers, autocorrelation and heteroscedasticity.
Subjects: 
Output Growth-Rate Distributions
Normality
Fat Tails
Time Series
Exponential-Power Distributions
Laplace Distributions
Output Dynamics
JEL: 
C1
E3
Document Type: 
Working Paper

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