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Detrending and Output Growth-Rate Distributions

Author

Listed:
  • Giorgio Fagiolo

    (University of Verona, Italy and Sant'Anna School of Advanced Studies, Pisa, Italy)

  • Mauro Napoletano

    (Polytechnic University of Marche, Ancona, Italy and Sant'Anna School of Advanced Studies, Pisa, Italy)

  • Andrea Roventini

    (University of Modena and Reggio Emilia, Italy and Sant'Anna School of Advanced Studies, Pisa, Italy)

Abstract

We investigate the statistical properties of output growth-rate distributions. Recent empirical contributions indicate that growth rates follow a Laplace distribution at different levels of aggregation, and, following this, we test whether output growth rates can be so approximated. We also ask whether our findings are robust to alternative means for detrending output series. Our analysis uses the Subbotin family of densities, which encompasses the Laplace and Gaussian distributions. We examine the distribution of output growth rates in the U. S. and in other developed countries. We find that the means used for detrending does affect the distribution of output growth rates. First-differenced growth rates follow a Laplace distribution, whereas the distributions of HP and bandpass-filtered growth rates have tails thinner than the Laplace

Suggested Citation

  • Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2006. "Detrending and Output Growth-Rate Distributions," Computing in Economics and Finance 2006 76, Society for Computational Economics.
    • Handle: RePEc:sce:scecfa:76
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    More about this item

    Keywords

    output growth-rate distributions; detrending techniques; Laplace distribution; cross-country analysis;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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