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XTMG: Stata module to estimate panel time series models with heterogeneous slopes

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Author Info

  • Markus Eberhardt

    ()
    (Centre for the Study of African Economies, Department of Economics, University of Oxford)

Abstract

The xtmg command implements three estimators from the recent panel time series literature which allow for heterogeneous slopes across panel units: the Pesaran and Smith (1995) Mean Group estimator, the Pesaran (2006) Common Correlated Effects Mean Group estimator and the Augmented Mean Group estimator introduced in Eberhardt and Teal (2010) and Bond and Eberhardt (2009). The latter two allow for cross-section dependence in the panel and have been shown to perform well in (co-)integrated panels. The routine allows for a number of options, including the computation of outlier-robust means (implemented using the rreg command), presentation of the group-specific regression results and the calculation of residual series based on the group-specific estimates.

Download Info

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File URL: http://fmwww.bc.edu/repec/bocode/x/xtmg.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/x/xtmg.sthlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457238.

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Programming language: Stata
Requires: Stata version 10
Date of creation: 06 Feb 2011
Date of revision: 25 Jul 2013
Handle: RePEc:boc:bocode:s457238

Note: This module should be installed from within Stata by typing "ssc install xtmg". Windows users should not attempt to download these files with a web browser.
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
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Web page: http://fmwww.bc.edu/EC/
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Web: http://repec.org/docs/ssc.php

Related research

Keywords: Panel data; Common Factor Model; Common Correlated Effects; Cross-Section Dependence;

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