Econometric convergence test and club clustering using Stata

Kerui Du ()
Additional contact information
Kerui Du: Shandong University

Stata Journal, 2017, vol. 17, issue 4, 882-900

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.

Keywords: logtreg; psecta; scheckmerge; imergeclub; pfilter; convergence; club clustering; log t test (search for similar items in EconPapers)
Date: 2017
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj17-4/st0503/
References: Add references at CitEc
Citations: View citations in EconPapers (93)

Downloads: (external link)
http://www.stata-journal.com/article.html?article=st0503 link to article purchase

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:17:y:2017:i:4:p:882-900

Ordering information: This journal article can be ordered from
http://www.stata-journal.com/subscription.html

Access Statistics for this article

Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins

More articles in Stata Journal from StataCorp LLC
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().