Munich Personal RePEc Archive

Parameter variation in the "log t" convergence test

Johnson, Paul A. (2019): Parameter variation in the "log t" convergence test. Forthcoming in: Applied Economics Letters

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Abstract

This paper estimates a local linear version of the model used in Phillips and Sul's (2007, 2009) "log t" convergence test. It documents the economically and statistically significant within-sample variation in the estimated value of the key parameter of that test when applied to data for 18 OECD countries during the 20th century. This variation suggests the substantial waxing and waning of the forces driving convergence, possibly due to low-frequency shocks and changes in the level economic integration.

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