文章基本信息

标题：A note on fractional stochastic convergence
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作者：Marcelo Mello ; Roberto Guimaraes-Filho
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2007
卷号：3
出版社：Economics Bulletin
摘要：We show that a class of non-stationary stochastic processes exhibiting long-range dependence satisfies one definition of time series convergence proposed in the literature. We also show explicitly the relationship between two time series concepts convergence proposed in the literature. Furthermore, we assess income per capita convergence for a sample OECD of economies using time series based tests. When we allow income shocks to exhibit long-range dependence, generalizing previous specifications, we find ample evidence of pairwise convergence among OECD economies. This finding is contrary to the literature that uses unit roots and cointegration tests.