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Estimation of nonstationary heterogeneous panels

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  • Edward F. Blackburne III

    ()
    (Sam Houston State University)

  • Mark W. Frank

    ()
    (Sam Houston State University)

Abstract

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). Copyright 2007 by StataCorp LP.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 7 (2007)
Issue (Month): 2 (June)
Pages: 197-208

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Handle: RePEc:tsj:stataj:v:7:y:2007:i:2:p:197-208

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Related research

Keywords: xtpmg; nonstationary panels; heterogeneous dynamic panels; pooled mean-group estimator; mean-group estimator; panel cointegration;

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