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Convergence in European GDP Series Author info | Abstract | Publisher info | Download info | Related research | Statistics Rob Luginbuhl
Siem Jan Koopman () (Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam)
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Convergence in gross domestic product series of five European countries is empirically identified using multivariate time series models that are based on unobserved components with dynamic converging properties. We define convergence in terms of a decrease in dispersion over time and model this decrease via mechanisms that allow for gradual reductions in the ranks of covariance matrices associated with the disturbance vectors driving the unobserved components of the model. The inclusion of such convergence mechanisms within the formulation of unobserved components makes the identification of various types of convergence possible.The common converging component model is estimated for the per capita gross domestic product of five European countries: Germany, France, Italy, Spain and the Netherlands. It is found that convergence features in trends and cycles are present and are associated with some key events in the history of European integration.
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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number
03-031/4.
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Date of creation: 03 Apr 2003Date of revision:
Handle: RePEc:dgr:uvatin:20030031Contact details of provider: Web page: http://www.tinbergen.nl/
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Keywords: Common trends and cycles dynamic factor model economic convergence Kalman filter multivariate unobserved components time series models Other versions of this item:
Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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