Estimating panel time-series models with heterogeneous slopes
AbstractThis article introduces a new Stata command, xtmg, that implements three panel time-series estimators, allowing for heterogeneous slope coefficients across group members: the Pesaran and Smith (1995, Journal of Econometrics 68: 79 – 113) mean group estimator, the Pesaran (2006, Econometrica 74: 967 – 1012) common correlated effects mean group estimator, and the augmented mean group estimator introduced by Eberhardt and Teal (2010, Discussion Paper 515, Department of Economics, University of Oxford). The latter two estimators further allow for unobserved correlation across panel members (cross-section dependence). Copyright 2012 by StataCorp LP.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by StataCorp LP in its journal Stata Journal.
Volume (Year): 12 (2012)
Issue (Month): 1 (March)
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj12-1/st0246/
Contact details of provider:
Web page: http://www.stata-journal.com/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Benos, Nikos & Karagiannis, Stelios, 2013. "Do Cross-Section Dependence and Parameter Heterogeneity Matter? Evidence on Human Capital and Productivity in Greece," MPRA Paper 53326, University Library of Munich, Germany.
- Lanzafame, Matteo, 2013. "Crime and regional growth in Italy," MPRA Paper 44343, University Library of Munich, Germany.
- Bruno Albuquerque & Ursel Baumann & Georgi Krustev, 2014.
"Has US Household Deleveraging Ended? A Model-Based Estimate of Equilibrium Debt,"
w201404, Banco de Portugal, Economics and Research Department.
- Albuquerque, Bruno & Baumann, Ursel & Krustev, Georgi, 2014. "Has US household deleveraging ended? a model-based estimate of equilibrium debt," Working Paper Series 1643, European Central Bank.
- Donatella Baiardi & Carluccio Bianchi & Eleonora Lorenzini, 2013.
"Food Competition In World Markets: Some Evidence From A Panel Data Analysis Of Top Exporting Countries,"
DEM Working Papers Series
060, University of Pavia, Department of Economics and Management.
- Donatella Baiardi & Carluccio Bianchi & Eleonora Lorenzini, 2013. "Food Competition in World Markets: Some Evidence from a Panel Data Analysis of Top Exporting Countries," Working Papers 262, University of Milano-Bicocca, Department of Economics, revised Dec 2013.
- Donatella Baiardi & Carluccio Bianchi & Eleonora Lorenzini, 2013. "The Clothing Export Performance and Prospects for Advanced and Emerging Economies: Evidence from a Panel Data Analysis (new version)," DEM Working Papers Series 040, University of Pavia, Department of Economics and Management.
- Malgorzata Sulimierska, 2014. "Effectiveness of capital control, economic growth and animal spirit: A cross-country analysis," Working Paper Series 7014, Department of Economics, University of Sussex.
- Antonio David & Montfort Mlachila & Ashwin Moheeput, 2014. "Does Openness Matter for Financial Development in Africa?," IMF Working Papers 14/94, International Monetary Fund.
- Lanzafame, Matteo & Nogueira, Reginaldo, 2013. "Inflation targeting and interest rates," MPRA Paper 46153, University Library of Munich, Germany.
- Nahla Samargandi & Jan Fidrmuc & Sugata Ghosh, 2014. "Is the Relationship between Financial Development and Economic Growth Monotonic? Evidence from a Sample of Middle Income Countries," CESifo Working Paper Series 4743, CESifo Group Munich.
- Matteo Lanzafame, 2014. "Temperature, rainfall and economic growth in Africa," Empirical Economics, Springer, vol. 46(1), pages 1-18, February.
- Rexhaeuser, Sascha & Schulte, Patrick & Welsch, Heinz, 2013. "ICT and the demand for energy: Evidence from OECD countries," ZEW Discussion Papers 13-116, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Ruge-Leiva, Diego-Ivan, 2014.
"International R&D Spillovers and Unobserved Common Shocks,"
56718, University Library of Munich, Germany.
- Diego-Ivan Ruge-Leiva, 2014. "International R&D spillovers and unobserved common shocks," Working Papers 08/14, Instituto Universitario de Análisis Económico y Social.
- Donatella Baiardi & Carluccio Bianchi & Eleonora Lorenzini, 2013. "The Clothing Export Performance and Prospects for Advanced and Emerging Economies: Evidence from a Panel Data Analysis," DEM Working Papers Series 038, University of Pavia, Department of Economics and Management.
- Donatella Baiardi & Carluccio Bianchi & Eleonora Lorenzini, 2014. "The price and income elasticities of the top clothing exporters: Evidence from a panel data analysis," DEM Working Papers Series 074, University of Pavia, Department of Economics and Management.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum) or (Lisa Gilmore).
If references are entirely missing, you can add them using this form.