ISSN:
1435-8921
Keywords:
Key words: Cointegration
;
convergence
;
growth
;
Kalman filter
;
JEL classifications: C22
;
O47
;
O57
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract. Augmented Dickey Fuller (ADF) and Kalman filter convergence tests are applied to annual GDPs per head to 16 industrialised countries from 1890 to 1989. Results favour convergence towards the US with a structural break following the Second World War. Estimates suggest that steady-states were higher after the war and that speeds of convergence are different across countries. The Kalman filter method dismissed the no convergence hypothesis more often than its ADF counterpart. This could explain the apparent contradiction in earlier empirical work on similar data sets (cross-section methods tended to favour convergence while time series methods were unable to dismiss the no convergence hypothesis.)
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/s001810050042
