The Application of Hidden Markov Models to the Analysis of Real Convergence

• Autorzy: Michał Bernardelli , Mateusz Prochniak , Bartosz Witkowski

Warianty tytułu

Zastosowanie ukrytych modeli Markowa w analizie realnej konwergencji

• Języki publikacji: EN

Abstrakty

EN

This paper employs hidden Markov models and the Viterbi path to analyze the process of real convergence. Such an approach combines the analysis of cyclical and income-level convergence. Twelve macroeconomic variables in the sample of 28 EU countries observed in the 1995-2016 period are within the scope of the study. The results indicate, among others, the existence of real convergence of Poland toward the remaining EU countries in terms of the levels of GDP per capita at PPP and GDP growth rates, with a short-run period of divergence during the global crisis. (original abstract)

Artykuł przedstawia zastosowanie ukrytych modeli Markowa i ścieżki Viterbiego do badania realnej konwergencji (zbieżności). Takie podejście łączy analizę konwergencji cyklicznej i dochodowej. Badanie obejmuje 28 krajów UE, okres 1995-2016 oraz 12 zmiennych makroekonomicznych. Wyniki pokazują m.in. realną zbieżność Polski do pozostałych krajów UE w kategoriach poziomów PKB per capita wg PSN oraz stóp wzrostu PKB, z krótkim okresem dywergencji podczas kryzysu globalnego. (abstrakt oryginalny)

Słowa kluczowe

EN

Convergence; Viterbi algorithm; Hidden Markov model

PL

Konwergencja; Algorytm Viterbiego; Ukryty model Markowa

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2017
• Tom: 17
• Strony: 59--80

Twórcy

autor

Michał Bernardelli

• Warsaw School of Economics, Poland

autor

Mateusz Prochniak

• Warsaw School of Economics, Poland

autor

Bartosz Witkowski

• Warsaw School of Economics, Poland

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Identyfikatory

DOI

10.12775/DEM.2017.004