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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.
  2. 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.
  3. Lanzafame, Matteo, 2013. "Crime and regional growth in Italy," MPRA Paper 44343, University Library of Munich, Germany.
  4. 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.
  5. Lanzafame, Matteo & Nogueira, Reginaldo, 2013. "Inflation targeting and interest rates," MPRA Paper 46153, University Library of Munich, Germany.
  6. 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.

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