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Authors
Advisor(s)
Abstract(s)
Augmented Dickey Fuller (ADF) and Kalman filter convergence tests are applied to annual GDPs per head for 16 industrialised countries from 1890 to 1989. Results favour convergence towards the US with a structural break following the Second World War. Estimates suggest that steady-states were higher after the war and that speeds of convergence are different across countries. The Kalman filter method dismissed the no convergence hypothesis more often than its ADF counterpart. This could explain the apparent contradiction in earlier empirical work on similar data sets (cross-section methods tended to favour convergence while time series methods could not dismiss no convergence).
Description
Keywords
Economic History Industrialised Countries Kalman Filter Statistical Methods France Germany USA
Pedagogical Context
Citation
St. Aubyn, Miguel. 1996. "Convergence across industrialised countries : 1890-1989: new results using time series methods". Instituto Superior de Economia e Gestão - DE Working papers nº 2 -1996/DE
Publisher
ISEG - Departamento de Economia