IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Estimating panel time-series models with heterogeneous slopes

  • Markus Eberhardt

    ()

    (University of Nottingham)

This article introduces a new Stata command, xtmg, that implements three panel time-series estimators, allowing for heterogeneous slope coefficients across group members: the Pesaran and Smith (1995, Journal of Econometrics 68: 79 – 113) mean group estimator, the Pesaran (2006, Econometrica 74: 967 – 1012) common correlated effects mean group estimator, and the augmented mean group estimator introduced by Eberhardt and Teal (2010, Discussion Paper 515, Department of Economics, University of Oxford). The latter two estimators further allow for unobserved correlation across panel members (cross-section dependence). Copyright 2012 by StataCorp LP.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.stata-journal.com/article.html?article=st0246
File Function: link to article purchase
Download Restriction: no

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 12 (2012)
Issue (Month): 1 (March)
Pages: 61-71

as
in new window

Handle: RePEc:tsj:stataj:v:12:y:2012:i:1:p:61-71
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj12-1/st0246/
Contact details of provider: Web page: http://www.stata-journal.com/

Order Information: Web: http://www.stata-journal.com/subscription.html

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:12:y:2012:i:1:p:61-71. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

or (Lisa Gilmore)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.