Pesaran Pairwise test with Panel Data

[hamed davodi]

hi,
I have a panel data which contains 120 country, 4 financial indexes between 1980 to 2017. and i want to do pairwise convergence test. any opinion?

[hamed davodi]

to specify what the pairwise convergence is;
1- we must calculate the first difference in each pair ( I(1) in country i - country j )
2- we must estimate ADF or KPSS test for each of I(1)s
3- the estimated p-value will tell us about convergence and divergence status
its easy to estimate pairwise convergence in 5 or 10 country data set but in 120 country, i dont have any idea !