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XTPMG: Stata module for estimation of nonstationary heterogeneous panels

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Author Info
Edward F. Blackburne III () (Sam Houston State University)
Mark W. Frank () (Sam Houston State University)

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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). This routine is described in Stata Journal, 2007, 7:2, 197-208.

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File URL: http://fmwww.bc.edu/repec/bocode/x/xtpmg.ado
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456868.

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Programming language: Stata
Requires: Stata version 9
Date of creation: 05 Sep 2007
Date of revision:
Handle: RePEc:boc:bocode:s456868

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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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Related research
Keywords: xtpmg; nonstationary panels; heterogeneous dynamic panels; pooled mean-group estimator; mean-group estimator; panel cointegration;

Statistics
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This page was last updated on 2009-11-10.

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