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OECD Ülkelerinde Panel Veri Stokastik Yakınsama Analizi: Panel Birim kök Testlerinden Kanıtları

Year 2017, Volume: 1 Issue: 1, 30 - 48, 01.12.2017

Abstract

Bu çalışmada 20 OECD ülkesi içerisinde 1948-2010 ve 1900-2010 dönemine ait reel kişi başına GSYİH'nın stokastik yakınsama davranışı incelenmiştir. Bu amaçla son yıllarda geliştirilen Becker, Enders ve Lee(2006) tarafından önerilen Fourier IPS testi uygulanmıştır. Fourier KPSS durağanlık test bulguları her iki dönem için farklı sonuçlar üretmiştir. Analiz sonuçları 1948*2010 döneminde Avusturya, Belçika ve Japonya dışında tüm ülkeler için stokastik yakınsamayı destekler niteliktedir. Ayrıca dönemin tamamı için o-yakınsamasına ilişkşn standart sapma değerlerinin düşme eğiliminde olduğu gözlenmiştir. Elde edilen sonuçlara göre savaş sonrası dönem boyunca reel kişi başına gelir açığındaki farklılıkların 20 OECD ülkesinin çoğunda giderilmiş olduğu, uzun dönemde ülkeye özgü şokların reel kişi başına gelir üzerinde geçici etkiye sahip olduğu anlaşılmaktadır. 

References

  • Abuaf, N., & Jorion, P. (1990). Purchasing power parity in the long run. The Journal of Finance, 45(1), 157-174.
  • Bai, J. ve P. Perron (1998), "Testing foran Estimation of Multiple Structural Changes" Econometrica,66: 817- 858.
  • Barro, R. J. (1991), "Economic Growth ın a Cross-Section of Countries", Quarterly Joumal of Economics,106, 407--443.
  • Barro, R. J. ve X. Sala-i Martin (1991),"Convergence Across States and Regions," Brookings Papers on Economic Activity,1, 107-82.
  • Barro, Robert J. ve X. Sala-i-Martin (2004), Economic Growth, 2nd ed., Cambridge MA, MiT Press.
  • Baumol, W. J. (1986), "Productivity Growth, Convergence, and Welfare",American Economic Review, 7 6, 1072-1085.
  • Becker, R., W. Enders ve J. Lee (2006), "A Stationairy Test in the Presence of an Unknown Number of Smooth Breaks",Joumal of Time Series Analysis, 27(3), 381-409.
  • Ben-David, D. ve D.H. Pape11(1995), "The Great Wars, the Great Crash, and Steady State Growth:Some New Evidence About an Old Stylized Fact", Joumal ofMonetary Economics 36, 453-75.
  • Ben-David, D. (1996), "Trade and Convergence Among Countrıes", Joumal of Intemational Economics,40, 279-298.
  • Bentzen, J. (2005), "Testing for Catching-Up Periods in Time Series Convergence", Economics Letters, 88, 323-328.
  • Bemard, A. B. veS. Durlauf (1995), "Convergence ın Intemational Output," Joumal of AppliedEconometrics, 10, 97-108.
  • Bemard, A. ve S. Durlauf (1996),"Interpreting Tests of the Convergence Hypothesis",Joumal of Econometrics, 71, 161-173.
  • Carlino, Gerald A. ve L. Mills (1993),"Are U.S. Regional Incomes Converging? A Time Series Analysis, "Joumal of Monetary Economics, 32 (2), 335--46.
  • Chortareas, G. E., G. Kapetanios ve Y. Shin (2002), "Nonlinear Mean Reversion in Real Exchange Rates", Economics Letters, 77(3), 411-417. De Long, B. (1988), "Productivity Growth, Convergence, and Welfare: Comment",American Economic Review,78, 1138-54.
  • Delgado, A. ve G. Rodrigez (2015), "Structural Breaks and Convergence in the Regions of Peru: 1970-2010", Review of Development Economics, 19(2), 346-357.
  • Enders, W. ve J. Lee (2012), "TheFlexibleFourier Form andtheDickey-Fuller TypeUnitRootTests", Economics Letters, 1 17,196-199.
  • Evans, P. (1996), "Using Cross-Country Variances to Evaluate Growth Theories",Journal of Economic Dynamics and Control,20, 1027-1049.
  • Evans, P. (1998), "Using Panel Data toEvaluateGrowthTheories", Intemational EconomicReview, 39 (2), 295-306.
  • Evans,P. ve G. Karras (1996), "Convergence Revisited", Journal ofMonetaryEconomics, 37, 249-65.
  • Fleissig, A. ve J. Strauss (2001 ), "Panel Unit-Root Tests of OECD Stochastic Convergence" ,Review of lntemational Economics, 9(1), 153-162.
  • Friedman, Milton (1992), "Do Old Fallacies Ever Die?",Journal of Economics Literature, 30, 2129-32.
  • Furuoka, F. (2015), "UnemploymentHysteresis ın the "Nordic Kitten: Evidence from Five Estonian Regions", Panoeconomıcus, 62( 5), 631 -642.
  • Gallant,A.R.( 1981 ),"On the Biasin Flexible Functional Forms and an Essentially Unbiased Form:The Fexible Journal of Econometrics,15, 211-245.
  • FourierForm", Greasley, D.,veL. Oxley(1995), "A Time Series Perspective on Convergence: Australia UK and the US since 1870", Economic Record, 71, 259-270.
  • Greasley, D. veL. Oxley (1997), "Time Series Based Tests of the Convergence Hypothesis: Some Positive Result"', Economics Letters, 56(2), 143-147.
  • Guetat, I. ve F. Serranito (2007), "lncome Convergence within the MENA Countries: A Panel Unit Root Approach", The Quarterly Review of Economics and Finance, 46(5), 685-706.
  • King, A. veC. Ramlogan-Dobson (2014), "Are Income Differences within the OECD Diminishing? Evidence from Fourier Unit Root Tests", Studies in Nonlinear Dynamics and Econometrics, 18, 185-199.
  • Kwiatkowski, D., P.C.B. Phillips, P. Schmidtve Y. Shin (1992),"Testing the Null Hypothesis of Stationarity Against the Altemative ofa Unit Root", Joumal of Econometrics, 54, 159-178.
  • Lee, K., M. H. Pesaran ve R. Smith (1997), "Growth and Convergence in Multi-Country Empirical Stochastic Solow Model", Journal of Applied Econometrics, 12(4), 357-392.
  • Li, Q. ve D. H. Papell (1999), "Convergence of Intemational Output: Time Series Evidencefor 16 OECD Countries", Intemational Review of Economics and Finance, 8, 267-280.
  • Loewy, M.B. veD. H. Papell (1996), "Are U.S. Regional Incomes Converging? Some Further Evidence",Journal of Monetary Economics, 38, 587-598.
  • Maddala, G. S. veS. Wu (1999),"A Comparative Study of Unit Root Tests with Panel Data anda New Simple Test", Oxford Bulletin of Economics and Statistics, 61, 631-652.
  • Maddison, A. (2003), The World Economy: Historical Statistics, Development Center Studies, Paris, Development Center for OECD.
  • Mankiw, N. G., D. Romer ve D. N. Weil (1992), "A Contributiont of the Empirics of EconomicGrowth", Quarterly Journal of Economics, 107, 407-438.
  • Nahar, S. veB. Inder (2002), "Testing Convergence in Economic Growth for OECD Countries", Applied Economics, 34,2011-2022.
  • Oxley, L. ve D. Greasley (1995), "A Time-seriesPerspective on Convergence: Australia, The UK and USA since 1870", The Economic Record, 71, 259-270.
  • Oxley, L. ve D. Greasley (1999), "A Nordic Convergence Club?", Applied Economic Letters, 6, 157-160.
  • Romer, D. (2006),Advanced Macroeconomics, 3rd edn, Boston, MA: McGraw-Hill.
  • Romero-Avila, D., 2008. "Convergence in Crbondioxide Emissions Among Industrialised Countries Revisited", EnergyEconomics, 30, 2265-2282. Romero-Avila, D. (2009), "The Convergence Hypothesis for OECD Countries Reconsidered: Panel Data Evidence with Multiple Breaks, 1870-2003", The Manchester School, 77(4), 552-574.
  • Sala-i Martin, X. (1996), "Regional Cohesion: Evidence and Theories of Regional Growth and Convergence", European Economic Review, 40, 1325-1352.
  • Solow, R. M. (1956), "A Contribution to the Theory of EconomicGrowth", QuarterlyJoumal of Economics, 70, 65-94.
  • Su, C.-W.,T. Y. Chang ve Y. -S. Liu (2012), "Revisiting Purchasing Power Parity for African Countries: With Nonlinear Panel Unit Root Tests", Applied Economics, 44, 3263-73.
  • Summers, R. ve A. Heston (1991), "The Penn World Table Mark 5: an Expanded Set of International Comparisons, 1950- 1988", Quarterly Journal of Economics, 106(2), 327- 368
  • Tunalı, C.B. ve Yilancı, V.(2010),"Are Per Capita Incomes of MENA Countries Converging or Diverging?",Physica A, 389, 4855-4862.
  • Quah, Danny T. (1993), "Galton's Fallacy and the Convergence Hypothesis", Scandinavian Journal of Economics, 95, 427--43.
  • Zelhorst, D. ve J. De Hann (1994), "The Nonstationarity of Aggregate Output: Some Additional International Evidence", Journal of Money, Creditand Banking, 26, 23-33.

Panel Data Stochastic Convergence Analysis In OECD Countries: Evidence From Panel Unit Root Tests

Year 2017, Volume: 1 Issue: 1, 30 - 48, 01.12.2017

Abstract

This study investigates the stochastic convergence behaviour of real GDP per capita for the period 1948-2010 and 1900-2010 across the 20 OECD countries. For that purpose, the existence of stochastic convergence is estimated by technique basedon the Fourier function approach (FKPSS) stationary test developed by Becker, Enders and Lee(2006). As well as, Fouier IPS test was applied for the whole panel. The Fourier KPSS stationarity test results produced different results for both periods. While the results of the analysis strongly supported the stochaticcon vergence for all countires except Austria and Belgium for the period 1948-2010, it only supported for Austria, Canada, Fnland, France, Netherlands, New Zealand, Norway, Sweden, Switzerland, UK and USA during 1900-2010. The Fourier IPS test results for the entire panel support a stochactic on vergence for both periods. It is also observed that the Standart deviation values for o-convergence tent to decrease for the whole period. According to the results obtained, it is the most important finding of this study that the differences in real per capita incomes during the post-war period are largely eliminated in the oECD countries and that long-term country-specific shocks have a temporary effect on real per capita income.

References

  • Abuaf, N., & Jorion, P. (1990). Purchasing power parity in the long run. The Journal of Finance, 45(1), 157-174.
  • Bai, J. ve P. Perron (1998), "Testing foran Estimation of Multiple Structural Changes" Econometrica,66: 817- 858.
  • Barro, R. J. (1991), "Economic Growth ın a Cross-Section of Countries", Quarterly Joumal of Economics,106, 407--443.
  • Barro, R. J. ve X. Sala-i Martin (1991),"Convergence Across States and Regions," Brookings Papers on Economic Activity,1, 107-82.
  • Barro, Robert J. ve X. Sala-i-Martin (2004), Economic Growth, 2nd ed., Cambridge MA, MiT Press.
  • Baumol, W. J. (1986), "Productivity Growth, Convergence, and Welfare",American Economic Review, 7 6, 1072-1085.
  • Becker, R., W. Enders ve J. Lee (2006), "A Stationairy Test in the Presence of an Unknown Number of Smooth Breaks",Joumal of Time Series Analysis, 27(3), 381-409.
  • Ben-David, D. ve D.H. Pape11(1995), "The Great Wars, the Great Crash, and Steady State Growth:Some New Evidence About an Old Stylized Fact", Joumal ofMonetary Economics 36, 453-75.
  • Ben-David, D. (1996), "Trade and Convergence Among Countrıes", Joumal of Intemational Economics,40, 279-298.
  • Bentzen, J. (2005), "Testing for Catching-Up Periods in Time Series Convergence", Economics Letters, 88, 323-328.
  • Bemard, A. B. veS. Durlauf (1995), "Convergence ın Intemational Output," Joumal of AppliedEconometrics, 10, 97-108.
  • Bemard, A. ve S. Durlauf (1996),"Interpreting Tests of the Convergence Hypothesis",Joumal of Econometrics, 71, 161-173.
  • Carlino, Gerald A. ve L. Mills (1993),"Are U.S. Regional Incomes Converging? A Time Series Analysis, "Joumal of Monetary Economics, 32 (2), 335--46.
  • Chortareas, G. E., G. Kapetanios ve Y. Shin (2002), "Nonlinear Mean Reversion in Real Exchange Rates", Economics Letters, 77(3), 411-417. De Long, B. (1988), "Productivity Growth, Convergence, and Welfare: Comment",American Economic Review,78, 1138-54.
  • Delgado, A. ve G. Rodrigez (2015), "Structural Breaks and Convergence in the Regions of Peru: 1970-2010", Review of Development Economics, 19(2), 346-357.
  • Enders, W. ve J. Lee (2012), "TheFlexibleFourier Form andtheDickey-Fuller TypeUnitRootTests", Economics Letters, 1 17,196-199.
  • Evans, P. (1996), "Using Cross-Country Variances to Evaluate Growth Theories",Journal of Economic Dynamics and Control,20, 1027-1049.
  • Evans, P. (1998), "Using Panel Data toEvaluateGrowthTheories", Intemational EconomicReview, 39 (2), 295-306.
  • Evans,P. ve G. Karras (1996), "Convergence Revisited", Journal ofMonetaryEconomics, 37, 249-65.
  • Fleissig, A. ve J. Strauss (2001 ), "Panel Unit-Root Tests of OECD Stochastic Convergence" ,Review of lntemational Economics, 9(1), 153-162.
  • Friedman, Milton (1992), "Do Old Fallacies Ever Die?",Journal of Economics Literature, 30, 2129-32.
  • Furuoka, F. (2015), "UnemploymentHysteresis ın the "Nordic Kitten: Evidence from Five Estonian Regions", Panoeconomıcus, 62( 5), 631 -642.
  • Gallant,A.R.( 1981 ),"On the Biasin Flexible Functional Forms and an Essentially Unbiased Form:The Fexible Journal of Econometrics,15, 211-245.
  • FourierForm", Greasley, D.,veL. Oxley(1995), "A Time Series Perspective on Convergence: Australia UK and the US since 1870", Economic Record, 71, 259-270.
  • Greasley, D. veL. Oxley (1997), "Time Series Based Tests of the Convergence Hypothesis: Some Positive Result"', Economics Letters, 56(2), 143-147.
  • Guetat, I. ve F. Serranito (2007), "lncome Convergence within the MENA Countries: A Panel Unit Root Approach", The Quarterly Review of Economics and Finance, 46(5), 685-706.
  • King, A. veC. Ramlogan-Dobson (2014), "Are Income Differences within the OECD Diminishing? Evidence from Fourier Unit Root Tests", Studies in Nonlinear Dynamics and Econometrics, 18, 185-199.
  • Kwiatkowski, D., P.C.B. Phillips, P. Schmidtve Y. Shin (1992),"Testing the Null Hypothesis of Stationarity Against the Altemative ofa Unit Root", Joumal of Econometrics, 54, 159-178.
  • Lee, K., M. H. Pesaran ve R. Smith (1997), "Growth and Convergence in Multi-Country Empirical Stochastic Solow Model", Journal of Applied Econometrics, 12(4), 357-392.
  • Li, Q. ve D. H. Papell (1999), "Convergence of Intemational Output: Time Series Evidencefor 16 OECD Countries", Intemational Review of Economics and Finance, 8, 267-280.
  • Loewy, M.B. veD. H. Papell (1996), "Are U.S. Regional Incomes Converging? Some Further Evidence",Journal of Monetary Economics, 38, 587-598.
  • Maddala, G. S. veS. Wu (1999),"A Comparative Study of Unit Root Tests with Panel Data anda New Simple Test", Oxford Bulletin of Economics and Statistics, 61, 631-652.
  • Maddison, A. (2003), The World Economy: Historical Statistics, Development Center Studies, Paris, Development Center for OECD.
  • Mankiw, N. G., D. Romer ve D. N. Weil (1992), "A Contributiont of the Empirics of EconomicGrowth", Quarterly Journal of Economics, 107, 407-438.
  • Nahar, S. veB. Inder (2002), "Testing Convergence in Economic Growth for OECD Countries", Applied Economics, 34,2011-2022.
  • Oxley, L. ve D. Greasley (1995), "A Time-seriesPerspective on Convergence: Australia, The UK and USA since 1870", The Economic Record, 71, 259-270.
  • Oxley, L. ve D. Greasley (1999), "A Nordic Convergence Club?", Applied Economic Letters, 6, 157-160.
  • Romer, D. (2006),Advanced Macroeconomics, 3rd edn, Boston, MA: McGraw-Hill.
  • Romero-Avila, D., 2008. "Convergence in Crbondioxide Emissions Among Industrialised Countries Revisited", EnergyEconomics, 30, 2265-2282. Romero-Avila, D. (2009), "The Convergence Hypothesis for OECD Countries Reconsidered: Panel Data Evidence with Multiple Breaks, 1870-2003", The Manchester School, 77(4), 552-574.
  • Sala-i Martin, X. (1996), "Regional Cohesion: Evidence and Theories of Regional Growth and Convergence", European Economic Review, 40, 1325-1352.
  • Solow, R. M. (1956), "A Contribution to the Theory of EconomicGrowth", QuarterlyJoumal of Economics, 70, 65-94.
  • Su, C.-W.,T. Y. Chang ve Y. -S. Liu (2012), "Revisiting Purchasing Power Parity for African Countries: With Nonlinear Panel Unit Root Tests", Applied Economics, 44, 3263-73.
  • Summers, R. ve A. Heston (1991), "The Penn World Table Mark 5: an Expanded Set of International Comparisons, 1950- 1988", Quarterly Journal of Economics, 106(2), 327- 368
  • Tunalı, C.B. ve Yilancı, V.(2010),"Are Per Capita Incomes of MENA Countries Converging or Diverging?",Physica A, 389, 4855-4862.
  • Quah, Danny T. (1993), "Galton's Fallacy and the Convergence Hypothesis", Scandinavian Journal of Economics, 95, 427--43.
  • Zelhorst, D. ve J. De Hann (1994), "The Nonstationarity of Aggregate Output: Some Additional International Evidence", Journal of Money, Creditand Banking, 26, 23-33.
There are 46 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Gülten Dursun

Publication Date December 1, 2017
Submission Date March 4, 2018
Published in Issue Year 2017 Volume: 1 Issue: 1

Cite

APA Dursun, G. (2017). OECD Ülkelerinde Panel Veri Stokastik Yakınsama Analizi: Panel Birim kök Testlerinden Kanıtları. Econharran, 1(1), 30-48.
AMA Dursun G. OECD Ülkelerinde Panel Veri Stokastik Yakınsama Analizi: Panel Birim kök Testlerinden Kanıtları. Econharran. December 2017;1(1):30-48.
Chicago Dursun, Gülten. “OECD Ülkelerinde Panel Veri Stokastik Yakınsama Analizi: Panel Birim kök Testlerinden Kanıtları”. Econharran 1, no. 1 (December 2017): 30-48.
EndNote Dursun G (December 1, 2017) OECD Ülkelerinde Panel Veri Stokastik Yakınsama Analizi: Panel Birim kök Testlerinden Kanıtları. Econharran 1 1 30–48.
IEEE G. Dursun, “OECD Ülkelerinde Panel Veri Stokastik Yakınsama Analizi: Panel Birim kök Testlerinden Kanıtları”, Econharran, vol. 1, no. 1, pp. 30–48, 2017.
ISNAD Dursun, Gülten. “OECD Ülkelerinde Panel Veri Stokastik Yakınsama Analizi: Panel Birim kök Testlerinden Kanıtları”. Econharran 1/1 (December 2017), 30-48.
JAMA Dursun G. OECD Ülkelerinde Panel Veri Stokastik Yakınsama Analizi: Panel Birim kök Testlerinden Kanıtları. Econharran. 2017;1:30–48.
MLA Dursun, Gülten. “OECD Ülkelerinde Panel Veri Stokastik Yakınsama Analizi: Panel Birim kök Testlerinden Kanıtları”. Econharran, vol. 1, no. 1, 2017, pp. 30-48.
Vancouver Dursun G. OECD Ülkelerinde Panel Veri Stokastik Yakınsama Analizi: Panel Birim kök Testlerinden Kanıtları. Econharran. 2017;1(1):30-48.