estimateMod {ConvergenceClubs} | R Documentation |
Log-t test for convergence
Description
Estimates the log-t regression model proposed by Phillips and Sul (2007, 2009) in order to investigate the presence of convergence by adopting the Andrews estimator of long-run variance (fixed or adaptive bandwidth of the kernel).
Usage
estimateMod(H, time_trim = 1/3, HACmethod = c("FQSB", "AQSB"))
Arguments
H |
vector of H values |
time_trim |
a numeric value between 0 and 1, representing the portion of time periods to trim when running log t regression model. Phillips and Sul (2007, 2009) suggest to discard the first third of the period. |
HACmethod |
string indicating whether a Fixed Quadratic Spectral Bandwidth ( |
Details
The following linear model is estimated:
\log\frac{H_1}{H_t} - 2\log(\log{t}) = \alpha + \beta \log{t} + u_t
Heteroskedasticity and autocorrelation consistent (HAC) standard errors are used with
Quadratic Spectral kernel (Andrews, 1991), If HACmethod
="FQSB",
a fixed bandwidth parameter is applied, while with HACmethod
="AQSB" an
adaptive bandwidth parameter is employed.
Value
A named vector containing information about the model used to run the t-test on the units in the club: beta coefficient, standard deviation, t-statistics and p-value.
References
Andrews, D. W., 1991. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica: Journal of the Econometric Society, 817-858.
Phillips, P. C.; Sul, D., 2007. Transition modeling and econometric convergence tests. Econometrica 75 (6), 1771-1855.
Phillips, P. C.; Sul, D., 2009. Economic transition and growth. Journal of Applied Econometrics 24 (7), 1153-1185.