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On the probability distribution of economic growth

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  • Pär Stockhammar
  • Lars-Erik Öller

Abstract

Three important and significantly heteroscedastic gross domestic product series are studied. Omnipresent heteroscedasticity is removed and the distributions of the series are then compared to normal, normal mixture and normal--asymmetric Laplace (NAL) distributions. NAL represents a skewed and leptokurtic distribution, which is in line with the Aghion and Howitt [1] 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 fits the data better than the alternatives.

Suggested Citation

  • Pär Stockhammar & Lars-Erik Öller, 2011. "On the probability distribution of economic growth," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(9), pages 2023-2041, November.
    • Handle: RePEc:taf:japsta:v:38:y:2011:i:9:p:2023-2041
    DOI: 10.1080/02664763.2010.545110
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    References listed on IDEAS

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    1. Romer, Paul M, 1986. "Increasing Returns and Long-run Growth," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1002-1037, October.
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    Cited by:

    1. Pär Stockhammar & Pär Österholm, 2016. "Effects of US policy uncertainty on Swedish GDP growth," Empirical Economics, Springer, vol. 50(2), pages 443-462, March.
    2. Mahmood Ul Hassan & Pär Stockhammar, 2016. "Fitting probability distributions to economic growth: a maximum likelihood approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1583-1603, July.
    3. Saket Saurabh & Ayush Trivedi & Nithilaksh P. Lokesh & Bhagyashree Gaikwad, 2020. "Sustaining the economy under partial lockdown: A pandemic centric approach," Papers 2005.08273, arXiv.org.

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    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions

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