Arbeitspapier
Convergence in European GDP Series
Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with dynamic converging properties.We define convergence in terms of a decrease in dispersion over timeand model this decrease via mechanisms that allow for gradualreductions in the ranks of covariance matrices associated with thedisturbance vectors driving the unobserved components of the model.The inclusion of such convergence mechanisms within the formulation ofunobserved components makes the identification of various types ofconvergence possible.The common converging component model isestimated for the per capita gross domestic product of five Europeancountries: Germany, France, Italy, Spain and the Netherlands. It is foundthat convergence features in trends and cycles are present and areassociated with some key events in the history of European integration.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 03-031/4
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
- Thema
-
Common trends and cycles
dynamic factor model
economic convergence
Kalman filter
multivariate unobserved components time series models
Entwicklungskonvergenz
Nationaleinkommen
Zeitreihenanalyse
Deutschland
Frankreich
Italien
Spanien
Niederlande
Zustandsraummodell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Luginbuhl, Rob
Koopman, Siem Jan
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Luginbuhl, Rob
- Koopman, Siem Jan
- Tinbergen Institute
Entstanden
- 2003
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