Regime switching with structural breaks in output convergence

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dc.authorwosidYazgan, Ege/GPG-1135-2022
dc.contributor.authorBeylunioglu, Fuat C.
dc.contributor.authorStengos, Thanasis
dc.contributor.authorYazgan, M. Ege
dc.date.accessioned2024-07-18T20:49:08Z
dc.date.available2024-07-18T20:49:08Z
dc.date.issued2018
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractIn 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.en_US
dc.identifier.doi10.1515/snde-2017-0043
dc.identifier.issn1081-1826
dc.identifier.issn1558-3708
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85041995964en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.urihttps://doi.org/10.1515/snde-2017-0043
dc.identifier.urihttps://hdl.handle.net/11411/8096
dc.identifier.volume22en_US
dc.identifier.wosWOS:000435582100005en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWalter De Gruyter Gmbhen_US
dc.relation.ispartofStudies in Nonlinear Dynamics and Econometricsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectLong Memoryen_US
dc.subjectMarkov Switchingen_US
dc.subjectOutput Convergenceen_US
dc.subjectStructural Breaksen_US
dc.subjectViterbi Algorithmen_US
dc.subjectLong Memoryen_US
dc.subjectGrowthen_US
dc.subjectParameteren_US
dc.subjectTestsen_US
dc.subjectModelen_US
dc.titleRegime switching with structural breaks in output convergenceen_US
dc.typeArticleen_US

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