Giorgio Fagiolo
;
Mauro Napoletano
;
Andrea Roventini

are output growth-rate distributions fat-tailed? some evidence from oecd countries (replication data)

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 (but with finite moments of any order). 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.

Data and Resources

Suggested Citation

Fagiolo, Giorgio; Napoletano, Mauro; Roventini, Andrea (2008): Are output growth-rate distributions fat-tailed? some evidence from OECD countries (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022319.0719277369