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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