Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries
研究OECD国家产出增长率分布的统计特征，发现其分布呈对称指数幂形式，尾部比高斯分布更厚，且这一特征在剔除异常值、自相关和异方差后依然稳健。
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 (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. Copyright © 2008 John Wiley & Sons, Ltd.