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XTBCHPANEL: Stata module implementing Bias-corrected mean-group long-run estimators for dynamic heterogeneous panels (ARDL), with an optional climate-deviation mode

Author

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  • Merwan Roudane

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Abstract

xtbchpanel estimates the long-run effect of each regressor in a {it:dynamic heterogeneous} panel and averages the unit-specific effects with a family of bias-corrected and trimmed mean-group estimators. For each cross-section unit i it fits, by OLS, the ARDL(p,q) model y(i,t) = a(i) + {&Sigma}(l=1..p) {&phi}(i,l) y(i,t-l) + {&Sigma}(k) {&Sigma}(l=0..q) {&beta}_k(i,l) x_k(i,t-l) [+ {&gamma}(i) cce(i,t-1)] + u(i,t), and forms the long-run coefficient of each regressor k, theta_k(i) = [{&Sigma}_l {&beta}_k(i,l)] / [1 - {&Sigma}_l {&phi}(i,l)]. These are general dynamic-panel long-run estimators (Pesaran & Smith 1995; Chudik & Pesaran 2015; Kiviet & Phillips 1993; Pesaran & Zhao 1999; Pesaran & Yang 2024; Chudik, Pesaran & Yang 2018) and apply to any field, not only climate.

Suggested Citation

  • Merwan Roudane, 2026. "XTBCHPANEL: Stata module implementing Bias-corrected mean-group long-run estimators for dynamic heterogeneous panels (ARDL), with an optional climate-deviation mode," Statistical Software Components S459793, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459793
    Note: This module should be installed from within Stata by typing "ssc install xtbchpanel". 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/xtbchpanel.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbchpanel.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbchpanel_methods.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbchpanel_example.do
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