6533b85ffe1ef96bd12c13e5

RESEARCH PRODUCT

ConvergenceClubs: A Package for Performing the Phillips and Sul's Club Convergence Clustering Procedure

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description

This paper introduces package ConvergenceClubs, which implements functions to perform the Phillips and Sul (2007, 2009) club convergence clustering procedure in a simple and reproducible manner. The approach proposed by Phillips and Sul to analyse the convergence patterns of groups of economies is formulated as a nonlinear time varying factor model that allows for different time paths as well as individual heterogeneity. Unlike other approaches in which economies are grouped a priori, it also allows the endogenous determination of convergence clubs. The algorithm, usage, and implementation details are discussed.