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Econometric convergence test and club clustering using Stata

Author

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  • Kerui Du

    (Shandong University)

Abstract

In this article, I introduce a new package with five commands to perform econometric convergence analysis and club clustering as proposed by Phillips and Sul (2007, Econometrica 75: 1771–1855). The logtreg command performs the log t regression test. The psecta command implements the cluster- ing algorithm to identify convergence clubs. The scheckmerge command conducts the log t regression test for all pairs of adjacent clubs. The imergeclub command tries to iteratively merge adjacent clubs. The pfilter command extracts the trend and cyclical components of a time series of each individual in panel data. I pro- vide an example from Phillips and Sul (2009, Journal of Applied Econometrics 24: 1153–1185) to illustrate the use of these commands. Additionally, I use Monte Carlo simulations to exemplify the effectiveness of the clustering algorithm. Copyright 2016 by StataCorp LP.

Suggested Citation

  • Kerui Du, 2017. "Econometric convergence test and club clustering using Stata," Stata Journal, StataCorp LP, vol. 17(4), pages 882-900, December.
    • Handle: RePEc:tsj:stataj:v:17:y:2017:i:4:p:882-900
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