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Fractional cointegration analysis of EU convergence

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  • Sonila Beliu
  • Matthew Higgins

Abstract

Traditional cointegration tests do not provide strong evidence of convergence between EU countries. In this study, fractional cointegration analysis is used to test for convergence between EU members. Fractional cointegration between inflation and between long-term interest rates is found. The results indicate that there is nominal convergence, but that the equilibrium errors display long memory. Fractional cointegration analysis gives no evidence of real convergence in output.

Suggested Citation

  • Sonila Beliu & Matthew Higgins, 2004. "Fractional cointegration analysis of EU convergence," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1607-1611.
    • Handle: RePEc:taf:applec:v:36:y:2004:i:14:p:1607-1611
    DOI: 10.1080/0003684042000217931
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    References listed on IDEAS

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    Cited by:

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    4. Chi-Wei Su & Hsu-Ling Chang, 2013. "Is income converging in China?," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 21(2), pages 341-356, April.
    5. Lena Dräger & Theoplasti Kolaiti & Philipp Sibbertsen, 2023. "Measuring macroeconomic convergence and divergence within EMU using long memory," Empirical Economics, Springer, vol. 65(5), pages 2333-2356, November.
    6. Xanthippi Chapsa & Athanasios L. Athanasenas & Nikolaos Tabakis, 2019. "Real Convergence in EU-15: A Comparative Analysis of North versus South Europe," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 3-21.
    7. Adnan Kasman & Saadet Kirbas-Kasman & Evrim Turgutlu, 2005. "Nominal and real convergence between the CEE countries and the EU: a fractional cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 37(21), pages 2487-2500.
    8. E. Tsanana & X. Chapsa & C. Katrakilidis, 2016. "Is growth corrupted or bureaucratic? Panel evidence from the enlarged EU," Applied Economics, Taylor & Francis Journals, vol. 48(33), pages 3131-3147, July.

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