The Application of Hidden Markov Models to the Analysis of Real Convergence
Journal Title: Dynamic Econometric Models - Year 2017, Vol 17, Issue
Abstract
This paper employs hidden Markov models and the Viterbi path to analyze the process of real convergence. Such an approach combines the analysis of cyclical and income-level convergence. Twelve macroeconomic variables in the sample of 28 EU countries observed in the 1995-2016 period are within the scope of the study. The results indicate, among others, the existence of real convergence of Poland toward the remaining EU countries in terms of the levels of GDP per capita at PPP and GDP growth rates, with a short-run period of divergence during the global crisis.
Authors and Affiliations
Michal Bernardelli, Mariusz Próchniak, Bartosz Witkowski
Keywords
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- EP ID EP326071
- DOI 10.12775/DEM.2017.004
- Views 78
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