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Modeling pairwise convergence: A Bayesian approach with an application to Greek inflation

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Author Info
Arakelian, Veni
Moschos, Demetrios

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Abstract

We propose a methodology for modeling convergence in the presence of transitional dynamics. We explore the dynamic behavior of the difference between two series by allowing the parameters to change across time without imposing any formulation restrictions, using a threshold approach. We adopt an MCMC algorithm to identify the number and the location of the breaks.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4PFW65H-2/1/fd9f39792bfcd8260f65333ad8ae0690
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 99 (2008)
Issue (Month): 2 (May)
Pages: 340-344
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:2:p:340-344

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This page was last updated on 2009-12-12.

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