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

  • Arakelian, Veni
  • Moschos, Demetrios

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Andrew B. Bernard & Steven N. Durlauf, 1994. "Interpreting Tests of the Convergence Hypothesis," NBER Technical Working Papers 0159, National Bureau of Economic Research, Inc.
  2. 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.
  3. Bernard, A.B. & Durlauf, S.N., 1993. "Convergence in International Output," Working papers 93-7, Massachusetts Institute of Technology (MIT), Department of Economics.
  4. 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.
  5. 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.
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