The application of hidden Markov models to the analysis of real convergence

Michał Bernardelli, Mariusz Prochniak () and Bartosz Witkowski
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Mariusz Prochniak: SGH Warsaw School of Economics

Dynamic Econometric Models, 2017, vol. 17, 59-80

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.

Keywords: catching-up; convergence; hidden Markov model; European Union; Viterbi path (search for similar items in EconPapers)
JEL-codes: C61 E32 O47 O52 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkdem:v:17:y:2017:p:59-80

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