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Estimating long run e ects in models with cross-sectional dependence using xtdcce2

Author

Listed:
  • Jan Ditzen

    (Centre for Energy Economics Research and Policy, Heriot-Watt University)

Abstract

This paper describes how to estimate long run effects in a large heterogeneous panel data model with cross sectional dependence in Stata using the user written command xtdcce2. It builds on Chudik et al. (2016) and explains how to estimate models using the CS-DL and CS-ARDL estimator. In addition it includes a method how to estimate an error correction model.

Suggested Citation

  • Jan Ditzen, 2019. "Estimating long run e ects in models with cross-sectional dependence using xtdcce2," CEERP Working Paper Series 007, Centre for Energy Economics Research and Policy, Heriot-Watt University.
  • Handle: RePEc:hwc:wpaper:007
    as

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    File URL: http://ceerp.hw.ac.uk/RePEc/hwc/wpaper/007.pdf
    File Function: First version, 2019
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    Citations

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    Cited by:

    1. Arnab Bhattacharjee & Jan Ditzen & Sean Holly, 2022. "Spatial and Spatio-Temporal Error Correction, Networks and Common Correlated Effects," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, volume 43, pages 37-60, Emerald Group Publishing Limited.
    2. Jian Xue & Zeeshan Rasool & Raima Nazar & Ahmad Imran Khan & Shaukat Hussain Bhatti & Sajid Ali, 2021. "Revisiting Natural Resources—Globalization-Environmental Quality Nexus: Fresh Insights from South Asian Countries," Sustainability, MDPI, vol. 13(8), pages 1-19, April.
    3. Jeffrey Kouton & Sulpice Amonle, 2021. "Global value chains, labor productivity, and inclusive growth in Africa: empirical evidence from heterogeneous panel methods," Journal of Social and Economic Development, Springer;Institute for Social and Economic Change, vol. 23(1), pages 1-23, June.
    4. Afees A. Salisu & Ahamuefula E. Ogbonna & Tirimisiyu F. Oloko & Idris A. Adediran, 2021. "A New Index for Measuring Uncertainty Due to the COVID-19 Pandemic," Sustainability, MDPI, vol. 13(6), pages 1-18, March.
    5. Vasudeva N. R. Murthy & Natalya Ketenci, 2020. "Capital mobility in Latin American and Caribbean countries: new evidence from dynamic common correlated effects panel data modeling," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.
    6. Lateef Olawale Akanni, 2020. "Climatic Variations and Spatial Price Differentials of Perishable Foods in Nigeria," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 5(1), pages 1-15, June.
    7. Bhattacharjee, A. & Ditzen, J. & Holly, S., 2020. "Spatial and Spatio-temporal Engle-Granger representations, Networks and Common Correlated Effects," Cambridge Working Papers in Economics 2075, Faculty of Economics, University of Cambridge.
    8. Felix Fofana N¡¯Zue, 2020. "Is External Debt Hampering Growth in the ECOWAS Region?," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 12(4), pages 1-54, April.
    9. Salissu, Afees & Raheem, Ibrahim & Eigbiremolen, Godstime, 2020. "The behaviour of U.S. stocks to financial and health risks," MPRA Paper 105354, University Library of Munich, Germany.

    More about this item

    Keywords

    xtdcce2; parameter heterogeneity; dynamic panels; cross section dependence; common correlated effects; pooled mean-group estimator; mean-group estimator; error correction model; ardl; long run coefficients;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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