Decomposing changes in the conditional variance of GDP over time

Michele Battisti, Christopher F. Parmeter, Michele Battisti, Shahram Amini

Risultato della ricerca: Article

Abstract

A well established fact in the growth empirics literature is the increasing (unconditional) variation in output per capita across countries. We propose a nonparametric decomposition of the conditional variation of output per capita across countries to capture different channels over which the variation might be increasing. We find that OECD countries have experienced diminishing conditional variation while other regions have experienced increasing conditional variation. Our decomposition suggests that most of these changes in the conditional variance of output are due to unobserved factors not accounted for by the traditional growth determinants. In addition to this we show that these factors played very different roles over time and across regions.
Lingua originaleEnglish
pagine (da-a)376-387
Numero di pagine12
RivistaEconomic Modelling
Volume61
Stato di pubblicazionePublished - 2017

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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    Battisti, M., Parmeter, C. F., Battisti, M., & Amini, S. (2017). Decomposing changes in the conditional variance of GDP over time. Economic Modelling, 61, 376-387.