Publication: Convergence and Cointegration
Loading...
Files
Official URL
Full text at PDC
Publication Date
2011-06
Advisors (or tutors)
Editors
Journal Title
Journal ISSN
Volume Title
Publisher
Citations
Exportar
Abstract
This paper provides a new, united, and flexible framework to measure and characterize convergence in prices. We formally define this notion and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework enables the econometric measurement of such transi-tional behaviors and the development of testing procedures. Speci¯cally, we derive a statistical test to determine whether convergence exists and, if so, which type: as catching-up or steady-state. The application of this methodology to historic wheat prices results in a novel explanation of the convergence processes experienced during the 19th century.
Description
JEL: C22, C32, N70, F15
UCM subjects
Unesco subjects
Keywords
Citation
Bentzen, J. (2005). Testing for catching-up periods in time-series convergence. Economic Letters, 88:323-328.
Bernard, A. B. and Durlauf, S. N. (1995). Convergence in international output. Journal of Applied Econometrics, 10:97-108.
Bernard, A. B. and Durlauf, S. N. (1996). Interpreting tests of the convergence hypothesis. Journal of Econometrics, 71:161-173.
Box, G. E. P. and Tiao, G. C. (1975). Intervention analysis with applications to eco-nomic and environmental problems. Journal of the American Statistical Association, 70(349):70-79.
Busetti, F., Fabiani, S., and Harvey, A. (2006). Convergence of prices and rates of in°ation. Oxford Bulletin of Economics and Statistics, 68:863-877.
Cecchetti, S. G., Mark, N. C., and Sonora, R. J. (2002). Price index convergence among united states cities. International Economic Review, 43(4):1081-1099.
Chong, T. T. L., Hinich, M. J., Liew, V. K. S., and Lim, K. P. (2008). Time-series test of nonlinear convergence and transitional dynamics. Economic Letters, 100:337-339.
Datta, A. (2003). Time-series tests of convergence and transitional dynamics. Economic Letters, 81:233-240.
Davis, R. A., Chen, M., and Dunsmuir, W. T. M. (1995). Inference for MA(1) processes with a root on or near the unit circle. Probability and Mathematical Statistics, 15:227-242.
Dobado, R., Garcia-Hiernaux, A., and Guerrero, D. (2011). The integration of grain markets in the eighteenth century: Early rise of globalization in the west. Forthcoming.
Fan, C. S. and Wei, X. (2006). The law of one price: Evidence from the transitional economy of china. The Review of Economics and Statistics, 88(4):682-697.
Goldberg, P. K. and Verboven, F. (2005). Market integration and convergence to the law of one price: Evidence from the european car market. Journal of International Economics, 65(1):49-73.
Hobijn, B. and Franses, P. H. (2000). Asymptotically perfect and relative convergence of productivity. Journal of Applied Econometrics, 15:59-81.
King, A. and Ramlogan-Dobson, C. (2011). Nonlinear time-series convergence: The role of structural breaks. Economic Letters, 110:238-240.
Lan, Y. and Sylwester, K. (2010). Does the law of one price hold in China? testing price convergence using disaggregated data. China Economic Review, 21(2):224-236.
Ljung, G. M. and Box, G. E. P. (1978). On a measure of lack of ¯t in time series models. Biometrika, 65:297-303.
Nahar, S. and Inder, B. (2002). Testing convergence in economic growth for OECD countries. Applied Economics, 34(1):2011-2022.
O'Rourke, K. H. and Williamson, J. G. (1999). Globalization and History. MIT Press, Cambridge, Mass.
Phillips, P. C. B. (1991). Optimal inference in cointegrated systems. Econometrica, 59:283-306.
Phillips, P. C. B. (1994). Some exact distribution theory for maximum likelihood estima-tors of cointegration coefcients in error correction models. Econometrica, 62:73-94.
Phillips, P. C. B. and Sul, D. (2007). Transition modeling and econometric convergence tests. Econometrica,5:1771-1855.
Phillips, P. C. B. and Sul, D. (2009). Economic transition and growth. Journal of Applied Econometrics, 24:1153-1185.
Razzaque, M., Osafa-Kwaako, P., and Grynberg, R. (2007). Long-run trend in the relative price: Empirical estimation for individual commodities. In Grynberg, R. and Newton, S., editors, Commodity prices and development, pages 35-67. Oxford University Press, Oxford.
Robinson, T. (2007). Have european gas prices converged? Energy Policy, 35:2347-2351.
Shin, D. and Fuller, W. (1998). Unit-root tests based on unconditional maximum likeli-hood estimation for the autoregressive moving average. Journal of Time Series Anal-ysis, 19:591-599.