Convergence across industrialised countries (1890-1989): new results using time series methods

Miguel St. Aubyn ()

Empirical Economics, 1999, vol. 24, issue 1, pages 23-44

Abstract: Augmented Dickey Fuller (ADF) and Kalman filter convergence tests are applied to annual GDPs per head to 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 were unable to dismiss the no convergence hypothesis.)

Keywords: Cointegration; ·; convergence; ·; growth; ·; Kalman; filter (search for similar items in EconPapers)
JEL-codes: C22 O47 O57 (search for similar items in EconPapers)
Date: 1999-02-11
Note: received: February 1996/final version received: September 1997
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