English, Article edition: XTPMG: Stata module for estimation of nonstationary heterogeneous panels Edward F. Blackburne III; Mark W. Frank

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Bookmark: http://trove.nla.gov.au/version/102803
Physical Description
  • code
Language
  • English

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Title
  • XTPMG: Stata module for estimation of nonstationary heterogeneous panels
Author
  • Edward F. Blackburne III
  • Mark W. Frank
Physical Description
  • code
Notes
  • 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). This routine is described in Stata Journal, 2007, 7:2, 197-208.
  • xtpmg, nonstationary panels, heterogeneous dynamic panels, pooled mean-group estimator, mean-group estimator, panel cointegration
  • RePEc:boc:bocode:s456868
Language
  • English
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