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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)

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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    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
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpmg.hlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpmg_examples.do
    File Function: examples file
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    File URL: http://fmwww.bc.edu/repec/bocode/j/jasa2.dta
    File Function: sample data file
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