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Estimating panel time-series models with heterogeneous slopes

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Author Info

  • Markus Eberhardt

    () (University of Nottingham)

Abstract

This 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.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 12 (2012)
Issue (Month): 1 (March)
Pages: 61-71

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Handle: RePEc:tsj:stataj:v:12:y:2012:i:1:p:61-71

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Related research

Keywords: xtmg; nonstationary panels; parameter heterogeneity; cross- sectional dependence;

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Cited by:
  1. 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.

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