Econometric convergence test and club clustering using Stata
Kerui Du
The Center for Economic Research
Shandong University
Jinan, China
[email protected]
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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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Kerui Du
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logtreg, psecta, scheckmerge, imergeclub, pfilter, convergence, club clustering, log t test
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