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Time Series Test of Nonlinear Convergence and Transitional Dynamics

Chong, Terence Tai Leung, and Hinich, Melvin J., and Liew, Khim Sen, and Lim, Kian Peng, (2008) Time Series Test of Nonlinear Convergence and Transitional Dynamics. Economics Letters, 100 (3). pp. 337-339. ISSN 01651765

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Official URL: http://www.elsevier.com/wps/find/journaldescription.cws_home/505574/description#description

Affiliations

Chinese University of Hong Kong
University of Texas at Austin, USA
Universiti Malaysia Sabah. Labuan School of International Business and Finance

Abstract

A growing number of recent empirical studies reveal that output differentials are nonlinear. This paper revisits the income convergence hypothesis by using the nonlinear unit root test of Kapetanios et al. (2003). The test is applied to OECD countries. Out of the 12 income gaps in which nonlinearity has been detected, two cases of long-run converging and four cases of catching up are found. Our results are complementary to those of Greasley and Oxley (1997) and Bentzen (2005).

Item Type:Journal
Keywords:OECD, long-run convergence, catching up, nonlinear unit root test, income convergence hypothesis
Subjects:H Social Sciences, Economics, Sociology
ID Code:4061

Bentzen, J., 2005. Testing for catching-up periods in time-series convergence. Economics Letters 88, 323-328.

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Greasley, D. and L. Oxley, 1997. Time-series based tests of the convergence hypothesis: Some positive results. Economics Letters 56, 143-147.

Kapetanios, G., Shin, Y. and A. Snell, 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359–379.

Luukkonen, R., Saikkonen, P. and T. Teräsvirta, 1988. Testing linearity against Smooth Transition Autoregressive Models. Biometrika 75, 491–499.

Oxley, L. and D. Greasley, 1995. A time series perspective on convergence: Australia, UK and USA since 1870. Economic Record 71, 259–270.

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