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XTPMG: Stata module for estimation of nonstationary heterogeneous panels

Author

Listed:
  • Edward F. Blackburne III

    (Sam Houston State University)

  • Mark W. Frank

    (Sam Houston State University)

Programming Language

Stata

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.

Suggested Citation

  • Edward F. Blackburne III & Mark W. Frank, 2007. "XTPMG: Stata module for estimation of nonstationary heterogeneous panels," Statistical Software Components S456868, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s456868
    Note: This module should be installed from within Stata by typing "ssc install xtpmg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpmg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpmg_ml.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpmg.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpmg_examples.do
    File Function: examples file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/j/jasa2.dta
    File Function: sample data file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Scott, K. Rebecca, 2015. "Demand and price uncertainty: Rational habits in international gasoline demand," Energy, Elsevier, vol. 79(C), pages 40-49.
    2. Unger, Robert, 2017. "Asymmetric credit growth and current account imbalances in the euro area," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 435-451.
    3. Scott, K. Rebecca, 2011. "Demand and Price Volatility: Rational Habits in International Gasoline Demand," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt2q87432b, Department of Agricultural & Resource Economics, UC Berkeley.
    4. Alessio Ciarlone, 2012. "Wealth effects in emerging economies," Temi di discussione (Economic working papers) 843, Bank of Italy, Economic Research and International Relations Area.
    5. Bonizzi, Bruno, 2017. "Institutional investors’ allocation to emerging markets: A panel approach to asset demand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 47-64.

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