For two groups of post-communist countries (CEE and CIS) we estimated the parameters of
convergence equations on the basis of annual data. We depart from standard econometric theory,
which involves panel regression techniques. We test cross-country heterogeneity of parameters within
a system of Seemingly Unrelated Regression Equations (SURE). We show empirical evidence in
favour of the variability of parameters describing the convergence effect and productivity growth rates
across countries. Our approach seems a convincing alternative to the panel regression approach where
random effects can be estimated, imposing an assumption about the constancy of structural
parameters within the group of countries under analysis.
We discuss the role of the global financial crisis in the heterogeneity of convergence processes and
productivity at the country level. The aforementioned SURE model was estimated based on two
datasets, one containing observations prior to the crisis and the second containing the whole sample.