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The Stata Journal
Volume 17 Number 4: pp. 882-900

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Econometric convergence test and club clustering using Stata

Kerui Du
The Center for Economic Research
Shandong University
Jinan, China
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 clustering 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 provide 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.
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