The aim of this article is the development of models for converging economies. After discussing models of balanced growth, univariate models of the gap between per capital income in two economies are examined. The preferred models combine unobserved components with an error correction mechanism...

This paper presents substantial new evidence on the competitive process that links together industrial economic and international economics. Our time-series data base concerns manufactured product prices and their domestic and international determinants. We identity cointegrating relationships,...

In this paper, we analyze a general multivariate linear rational expectations model.

This paper proposes a pair-wise approach to testing for output convergence that considers all N(N-1)/2 possible pairs of log per capita output gaps across N economies. A general probabilistic definition of output convergence is also proposed. The approach is compatible with individual output...

This paper is concerned with tests in multivariate time series models made up of random walk (with drift) and stationary components. When the stationary component is white noise, a Lagrange multiplier test of the hypothesis that the covariance matrix of the disturbances driving the multivariate...

We provide a conceptual framework to analysis counterfactual scenarios using macroeconometric models. We consider UK entry to the euro. We derive conditional probability distributions for the difference between the future realisations of variables of interest subject to UK entry restrictions...

This paper compares the effects of weather shocks on agricultural production in Britain, France and Germany during the late nineteenth century. Using semi- parametric models to estimate the non-linear agro-weather relationship, we find that weather shocks explain between one and two-thirds of...

We develop a framework for modelling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...

Empirical evidence presented in this paper shows that the predictability of inflation at long horizons varies considerably across countries. Both simple theory and empirical evidence suggest that the crucial factor is the extent to which systematic monetary policy succeeds in stabilising the...

This paper considers the implications of the permanent/transitory decomposition of shocks for identification of structural models in the general case where the model might contain more than one permanent structural shock. It provides a simple and intuitive generalization of the in.uential work...