Structural Breaks and Convergence in Output Growth in the EU
Convergence is defined for a multivariate time-series model of output with breaks in intercepts and in time trends. Using OECD quarterly data on output from 1980, the convergence hypothesis is tested across seven European economies, Belgium, Finland, France, Italy, the Netherlands, Spain and the UK. On the strictest definition, the hypothesis of convergence of output can be rejected but, with a weaker definition, there is some evidence of convergence for the five countries Belgium, Finland, France, the Netherlands and the UK. The data is consistent with a model in which each country's trend output is related to a common European stochastic trend. This trend output is estimated and graphed for each country.
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- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Li, Qing & Papell, David, 1999. "Convergence of international output Time series evidence for 16 OECD countries," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 267-280, September.
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