Convergence in the trends and cycles of Euro‐zone income
用多变量不可观测成分时间序列模型分析欧元区国家人均实际收入的战后年度数据，提出一个结合共同趋势、相似周期和收敛成分的新模型，以区分长期和短期运动中的收敛特征。
Abstract Multivariate unobserved components (structural) time series models are fitted to annual post‐war observations on real income per capita in countries in the Euro‐zone. The aim is to establish stylized facts about convergence as it relates both to long‐run and short‐run movements. A new model, in which convergence components are combined with a common trend and similar cycles, is proposed. The convergence components are formulated as a second‐order error correction mechanism; this ensures that the extracted components change smoothly, thereby enabling them to be separated from transitory cycles. Copyright © 2005 John Wiley & Sons, Ltd.