Modeling pairwise convergence: A Bayesian approach with an application to Greek inflation

We propose a methodology for modeling convergence in the presence of transitional dynamics. We explore the dynamic behavior of the difference between two series by allowing the parameters to change across time without imposing any formulation restrictions, using a threshold approach. We adopt an MCMC algorithm to identify the number and the location of the breaks.

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Year of publication:	2008
Authors:	Arakelian, Veni ; Moschos, Demetrios
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 2, p. 340-344
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005296831