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Convergence among five industrial countries (1870–1994): Results from a time varying cointegration approach

Le Pen, Yannick (2005), Convergence among five industrial countries (1870–1994): Results from a time varying cointegration approach, Empirical Economics, 30, 1, p. 25-35. http://dx.doi.org/10.1007/s00181-004-0213-9

Type
Article accepté pour publication ou publié
Date
2005
Journal name
Empirical Economics
Volume
30
Number
1
Publisher
Springer
Pages
25-35
Publication identifier
Metadata
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Author(s)
Le Pen, Yannick
Abstract (EN)
In this paper, we check the hypothesis of a time varying cointegration relation between four industrial countries' per capita GDPs and US per capita GDP on the period from 1870 to 1994. Park and Hahn (1999) give the methodology. Results confirm the hypothesis of time evolving cointegration in all cases. Tests on the parameters of these cointegration relations show that, from the 1980's onwards, we can accept the hypothesis of stochastic convergence between France, Germany and Japan, on one hand, and the United States on the other.
Subjects / Keywords
Cointegration; convergence
JEL
O40 - General
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes