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XTDCCE2: Stata module to estimate heterogeneous coefficient models using common correlated effects in a dynamic panel

Author

Listed:
  • Jan Ditzen

    (Free University of Bozen-Bolzano)

Programming Language

Stata

Abstract

xtdcce2 estimates a heterogeneous coefficient model in a dynamic panel with dependence between cross sectional units. It supports the Common Correlated Effects Estimator (CCE) by Pesaran (2006), the Dynamic Common Correlated Effects Estimator (DCCE), proposed by Chudik and Pesaran (2015) and the Mean Group Estimator (MG, Pesaran and Smith, 1995) and the Pooled Mean Group Estimator (PMG, Shin et. Al 1999). In addition, the estimation of long run coefficients using the Cross-Sectional Augmented Distributed Lag (CS-DL, Chudik et al. 2016) and Cross-Sectional Augmented ARDL (CS-ARDL, Chudik et al. 2016) are implemented. xtdcce2 tests for cross sectional dependence (if xtcd2 installed), estimates the exponent of cross-sectional dependence (if xtcse2 installed) following Bailey, Kapetanios and Pesaran (2016) and supports instrumental variable estimations (if ivreg2 installed).

Suggested Citation

  • Jan Ditzen, 2016. "XTDCCE2: Stata module to estimate heterogeneous coefficient models using common correlated effects in a dynamic panel," Statistical Software Components S458204, Boston College Department of Economics, revised 09 Jan 2024.
    • Handle: RePEc:boc:bocode:s458204
    Note: This module should be installed from within Stata by typing "ssc install xtdcce2". 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.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdcce2.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdcce2.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdcce2fast.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdcce2fast.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtset2.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtset2.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdcce2_auxiliary.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdcce2_estat.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdcce2_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/b/bootstrap_xtdcce2.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdcce2_xtcd2_helpfile.do
    File Function: sample do file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtdcce2_sample_dataset.dta
    File Function: sample data file
    Download Restriction: no
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