IDEAS home Printed from https://ideas.repec.org/c/boc/bocode/s459772.html

XTLONGESTIM: Stata module providing long-run and mean-coefficient estimators with small-T bias correction for dynamic heterogeneous panels

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

xtlongestim unifies, in a single command, the estimators of the long-run and mean short-run coefficients of dynamic heterogeneous panels developed in Pesaran and Zhao (1999) and Hsiao, Pesaran and Tahmiscioglu (1999). The mean group (MG) estimator of the long-run coefficient is consistent but, as both papers show, can carry substantial bias when the time dimension T is small, because of (a) the small-T bias of the short-run least-squares estimates of lambda(i) and beta(i), and (b) the nonlinearity of beta/(1-lambda). xtlongestim implements the bias-reduction and Bayes shrinkage procedures proposed to deal with this, several of which had not previously been available in Stata.

Suggested Citation

  • Merwan Roudane, 2026. "XTLONGESTIM: Stata module providing long-run and mean-coefficient estimators with small-T bias correction for dynamic heterogeneous panels," Statistical Software Components S459772, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459772
    Note: This module should be installed from within Stata by typing "ssc install xtlongestim". 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

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtlongestim.ado
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtlongestim.sthlp
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtlongestim_postestimation.sthlp
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtlongestim_example.do
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:bocode:s459772. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.