Regime switching with structural breaks in output convergence
Küçük Resim Yok
Tarih
2018
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Walter De Gruyter Gmbh
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In this paper, we examine empirically GDP per capita convergence using an approach that explicitly allows for regime switching in the long memory parameter d within the context of a Markov Switching (MS)-ARFIMA framework. As existing methods used in the estimation of standard MS models, such as the EM algorithm are no longer appropriate, we will make use of the Viterbi algorithm to estimate the long memory MS model used by Tsay and Hardle (Tsay, W.-J., and W. K. Hardle. 2009. A Generalized Arfima Process with Markov-Switching Fractional Differencing Parameter. Journal of Statistical Computation and Simulation 79: 731-745.). We will classify the output gap series into two regimes, a high d and a low d regime, where a high d close to unity would imply persistence and lack of convergence. By examining the path of d parameter over time which enables us to observe non-convergent behavior in more detail, we find that converging behavior is diminishing over time and divergence is the dominant force.
Açıklama
Anahtar Kelimeler
Long Memory, Markov Switching, Output Convergence, Structural Breaks, Viterbi Algorithm, Long Memory, Growth, Parameter, Tests, Model
Kaynak
Studies in Nonlinear Dynamics and Econometrics
WoS Q Değeri
Q4
Scopus Q Değeri
Q2
Cilt
22
Sayı
3
