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The application of hidden Markov models to the analysis of real convergence

Author

Listed:
  • Michal Bernardelli

    (SGH Warsaw School of Economics)

  • Mariusz Prochniak

    (SGH Warsaw School of Economics)

  • Bartosz Witkowski

    (SGH Warsaw School of Economics)

Abstract

This paper employs hidden Markov models and the Viterbi path to analyze the process of real convergence. Such an approach combines the analysis of cyclical and income-level convergence. Twelve macroeconomic variables in the sample of 28 EU countries observed in the 1995-2016 period are within the scope of the study. The results indicate, among others, the existence of real convergence of Poland toward the remaining EU countries in terms of the levels of GDP per capita at PPP and GDP growth rates, with a short-run period of divergence during the global crisis.

Suggested Citation

  • Michal Bernardelli & Mariusz Prochniak & Bartosz Witkowski, 2017. "The application of hidden Markov models to the analysis of real convergence," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 59-80.
    • Handle: RePEc:cpn:umkdem:v:17:y:2017:p:59-80
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    References listed on IDEAS

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    Cited by:

    1. Michal Bernardelli & Mariusz Prochniak & Bartosz Witkowski, 2021. "Time stability of the impact of institutions on economic growth and real convergence of the EU countries: implications from the hidden Markov models analysis," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 16(2), pages 285-323, June.
    2. Michał Bernardelli & Mariusz Próchniak & Bartosz Witkowski, 2018. "Przydatność ukrytych modeli Markowa do oceny podobieństwa krajów w zakresie synchronizacji wahań cyklicznych i wyrównywania się poziomów dochodu," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 53, pages 77-96.

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    More about this item

    Keywords

    catching-up; convergence; hidden Markov model; European Union; Viterbi path;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe

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