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XTPCMG: Stata module to implement Panel Cointegrating Polynomial Regressions: Group-Mean & Pooled FM-OLS

Author

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  • Merwan Roudane

Programming Language

Abstract

xtpcmg estimates Fully Modified OLS (FM-OLS) for Panel Cointegrating Polynomial Regressions (CPRs). Polynomial cointegration models arise when a dependent variable is linked not just to an integrated process but also to its higher-order powers. The leading application is the Environmental Kuznets Curve (EKC), where CO2 emissions follow a quadratic or cubic function of GDP. Standard panel cointegration estimators are inconsistent for these models because the polynomial powers are perfectly correlated with the level of the integrated process. xtpcmg applies the specialised FM-OLS corrections developed in the recent econometrics literature.

Suggested Citation

  • Merwan Roudane, 2026. "XTPCMG: Stata module to implement Panel Cointegrating Polynomial Regressions: Group-Mean & Pooled FM-OLS," Statistical Software Components S459621, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459621
    Note: This module should be installed from within Stata by typing "ssc install xtpcmg". 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/xtpcmg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpcmg.sthlp
    File Function: help file
    Download Restriction: no
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