Fractional Integration v Structural Change: Testing the Convergence of CO2 Emissions

52 Pages Posted: 30 Jan 2017

See all articles by Marco R. Barassi

Marco R. Barassi

University of Birmingham

Nicola Spagnolo

Brunel University London - Economics and Finance

Yuqian Zhao

University of Birmingham - Department of Economics

Date Written: January 28, 2017

Abstract

This paper assesses the stochastic convergence of relative CO2 emissions within three different sets of countries over the period 1950-2013. Using the Local Whittle (LW) estimator and its variants we investigate whether relative per-capita CO2 emissions are long memory processes which, although highly persistent, may revert to their mean/trend in the long run thereby indicating evidence of stochastic convergence. Furthermore, we test whether (possibly) slow convergence or the complete lack of it, may be the result of structural changes to the deterministics of each of the relative percapita CO2 emissions series by means of the tests of Berkes et al. (2006) and Mayoral (2012). Our results show relatively weak support for stochastic convergence of CO2 emissions among the three groups, indicating that only between 30% and 40% of the countries converge to each group-average in a stochastic sense. Our results also point toward the absence of structural changes.

Keywords: Fractional Integration, Local Whittle Estimation, Structural Change

JEL Classification: C22, Q54, Q56

Suggested Citation

Barassi, Marco R. and Spagnolo, Nicola and Zhao, Yuqian, Fractional Integration v Structural Change: Testing the Convergence of CO2 Emissions (January 28, 2017). Available at SSRN: https://ssrn.com/abstract=2907328 or http://dx.doi.org/10.2139/ssrn.2907328

Marco R. Barassi (Contact Author)

University of Birmingham ( email )

Birmingham B15 2TT, Birmingham B15 2TT
United Kingdom

Nicola Spagnolo

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom

Yuqian Zhao

University of Birmingham - Department of Economics ( email )

United Kingdom

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