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

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  • Arakelian, Veni
  • Moschos, Demetrios

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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Bibliographic 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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Web page: http://www.elsevier.com/locate/ecolet

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  1. Hafer, R W & Kutan, A M, 1994. "A Long-Run View of German Dominance and the Degree of Policy Convergence in the EMS," Economic Inquiry, Western Economic Association International, vol. 32(4), pages 684-95, October.
  2. Andrew B. Bernard & Steven N. Durlauf, 1994. "Interpreting Tests of the Convergence Hypothesis," NBER Technical Working Papers 0159, National Bureau of Economic Research, Inc.
  3. Bernard, Andrew B & Durlauf, Steven N, 1995. "Convergence in International Output," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 97-108, April-Jun.
  4. Koedijk, Kees G. & Kool, Clemens J. M., 1992. "Dominant interest and inflation differentials within the EMS," European Economic Review, Elsevier, vol. 36(4), pages 925-943, May.
  5. Hall, Stephen G & Robertson D & Wickens, M R, 1997. "Measuring Economic Convergence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(2), pages 131-43, April.
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