RT Report
T1 Convergence and Cointegration
A1 García Hiernaux, Alfredo
A1 Guerrero, David
AB This paper provides a new, united, and flexible framework to measure and characterize convergence in prices. We formally define this notion and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework enables the econometric measurement of such transi-tional behaviors and the development of testing procedures. Speci¯cally, we derive a statistical test to determine whether convergence exists and, if so, which type: as catching-up or steady-state. The application of this methodology to historic wheat prices results in a novel explanation of the convergence processes experienced during the 19th century.
YR 2011
FD 2011-06
LK https://hdl.handle.net/20.500.14352/49011
UL https://hdl.handle.net/20.500.14352/49011
LA eng
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NO JEL: C22, C32, N70, F15
DS Docta Complutense
RD 1 may 2024