Kong, Jianning; Phillips, Peter C. B.; Sul, Donggyu - 2022
The concept of relative convergence, which requires the ratio of two time series to converge to unity in the long run … convergence of this type does not necessarily hold when series share common time decay patterns measured by evaporating rather … deterministic trends, we introduce the notion of weak σ-convergence, whereby cross section variation in the panel decreases over …