Estimation of nonstationary heterogeneous panels

We introduce a new Stata command, xtpmg, for estimating nonstationary heterogeneous panels in which the number of groups and number of time-series observations are both large. Based on recent advances in the nonstationary panel literature, xtpmg provides three alternative estimators: a traditional fixed-effects estimator, the mean-group estimator of Pesaran and Smith (Estimating long-run relationships from dynamic heterogeneous panels, Journal of Econometrics 68: 79–113), and the pooled mean-group estimator of Pesaran, Shin, and Smith (Estimating long-run relationships in dynamic heterogeneous panels, DAE Working Papers Amalgamated Series 9721; Pooled mean group estimation of dynamic heterogeneous panels, Journal of the American Statistical Association 94: 621–634).


Issue Date:
2007
Publication Type:
Journal Article
DOI and Other Identifiers:
st0125 (Other)
PURL Identifier:
http://purl.umn.edu/119268
Published in:
Stata Journal, Volume 07, Number 2
Page range:
197-208
Total Pages:
12

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 Record created 2017-04-01, last modified 2017-08-26

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