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The durations of recession and prosperity: What distribution do they follow?

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  • Campolieti, Michele

Abstract

I study the duration of periods of prosperity and recessions from twenty-one leading economies and determine what distribution is a reasonable and plausible fit for these duration data. The earlier literature has focused on the power law and exponential distributions for these duration data. I consider these two distributions as well as two alternative distributions. However, unlike earlier papers, I use a maximum likelihood framework that estimates and evaluates the fit of each of these candidate distributions as well as allowing for model comparison tests to compare a particular distribution against competing distributions.

Suggested Citation

  • Campolieti, Michele, 2019. "The durations of recession and prosperity: What distribution do they follow?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    • Handle: RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119304376
    DOI: 10.1016/j.physa.2019.04.057
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    References listed on IDEAS

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    Cited by:

    1. Tomaschitz, Roman, 2020. "Multiply broken power-law densities as survival functions: An alternative to Pareto and lognormal fits," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).

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