Transition Modeling and Econometric Convergence Tests

A new panel data model is proposed to represent the behavior of economies in transition, allowing for a wide range of possible time paths and individual heterogeneity. The model has both common and individual specific components, and is formulated as a nonlinear time varying factor model. When appli...

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Main Authors: PHILLIPS, Peter C. B., SUL, Donggyu
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Language:English
Published: Institutional Knowledge at Singapore Management University 2007
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Online Access:https://ink.library.smu.edu.sg/soe_research/60
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spelling sg-smu-ink.soe_research-10592010-09-23T05:48:03Z Transition Modeling and Econometric Convergence Tests PHILLIPS, Peter C. B. SUL, Donggyu A new panel data model is proposed to represent the behavior of economies in transition, allowing for a wide range of possible time paths and individual heterogeneity. The model has both common and individual specific components, and is formulated as a nonlinear time varying factor model. When applied to a micro panel, the decomposition provides flexibility in idiosyncratic behavior over time and across section, while retaining some commonality across the panel by means of an unknown common growth component. This commonality means that when the heterogeneous time varying idiosyncratic components converge over time to a constant, a form of panel convergence holds, analogous to the concept of conditional sigma convergence. The paper provides a framework of asymptotic representations for the factor components that enables the development of econometric procedures of estimation and testing. In particular, a simple regression based convergence test is developed, whose asymptotic properties are analyzed under both null and local alternatives, and a new method of clustering panels into club convergence groups is constructed. These econometric methods are applied to analyze convergence in cost of living indices among 19 U.S. metropolitan cities 2007-11-01T07:00:00Z text https://ink.library.smu.edu.sg/soe_research/60 info:doi/10.1111/j.1468-0262.2007.00811.x Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Club convergence relative convergence common factor convergence log t regression test panel data transition. Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Club convergence
relative convergence
common factor
convergence
log t regression test
panel data
transition.
Econometrics
spellingShingle Club convergence
relative convergence
common factor
convergence
log t regression test
panel data
transition.
Econometrics
PHILLIPS, Peter C. B.
SUL, Donggyu
Transition Modeling and Econometric Convergence Tests
description A new panel data model is proposed to represent the behavior of economies in transition, allowing for a wide range of possible time paths and individual heterogeneity. The model has both common and individual specific components, and is formulated as a nonlinear time varying factor model. When applied to a micro panel, the decomposition provides flexibility in idiosyncratic behavior over time and across section, while retaining some commonality across the panel by means of an unknown common growth component. This commonality means that when the heterogeneous time varying idiosyncratic components converge over time to a constant, a form of panel convergence holds, analogous to the concept of conditional sigma convergence. The paper provides a framework of asymptotic representations for the factor components that enables the development of econometric procedures of estimation and testing. In particular, a simple regression based convergence test is developed, whose asymptotic properties are analyzed under both null and local alternatives, and a new method of clustering panels into club convergence groups is constructed. These econometric methods are applied to analyze convergence in cost of living indices among 19 U.S. metropolitan cities
format text
author PHILLIPS, Peter C. B.
SUL, Donggyu
author_facet PHILLIPS, Peter C. B.
SUL, Donggyu
author_sort PHILLIPS, Peter C. B.
title Transition Modeling and Econometric Convergence Tests
title_short Transition Modeling and Econometric Convergence Tests
title_full Transition Modeling and Econometric Convergence Tests
title_fullStr Transition Modeling and Econometric Convergence Tests
title_full_unstemmed Transition Modeling and Econometric Convergence Tests
title_sort transition modeling and econometric convergence tests
publisher Institutional Knowledge at Singapore Management University
publishDate 2007
url https://ink.library.smu.edu.sg/soe_research/60
_version_ 1770569018547109888