Growth convergence clubs: Evidence from Markov-switching models using panel data
AbstractIn this paper we model the rate of growth of per capita output as a two-state Markov-switching process. We consider panel data sets for OECD countries, USA states and two wider samples of countries. For each sample, we attempt to characterize each regime's first and second moments, the transition probabilities as well as the unconditional probabilities of being in each regime. We also make inference on the regime that is most likely to have generated each observed growth rate in the panels. We find that the low growth regimes exhibit high volatility but are not very persistent while the high growth regimes are substantially less volatile and very persistent. Also we find that, at the world level, only a few countries seem to have remained in the high growth regime over the entire sample period. On the other hand, all OECD countries and most USA states have remained in the high growth regime over the last decade of their corresponding sample periods. In all cases, no economy seems to have remained in the low growth regime over the different time spans considered in this study.
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Bibliographic InfoPaper provided by International Conferences on Panel Data in its series 10th International Conference on Panel Data, Berlin, July 5-6, 2002 with number D5-3.
Date of creation: Mar 2002
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Growth and convergence; Markov-switching models;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- O40 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-04 (All new papers)
- NEP-DEV-2002-07-04 (Development)
- NEP-ETS-2002-07-04 (Econometric Time Series)
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