IDEAS home Printed from https://ideas.repec.org/p/hwe/seecdp/1601.html

xtdcce: Estimating Dynamic Common Correlated Effects in Stata

Author

Listed:
  • Jan Ditzen

    (Heriot-Watt University)

Abstract

This article introduces a new Stata command, xtdcce, to estimate a dynamic common correlated effects model with heterogeneous coefficients. The estimation procedure mainly follows Chudik and Pesaran (2015b), in addition the common correlated effects estimator (Pesaran, 2006), as well as the mean group (Pesaran and Smith, 1995) and the pooled mean group estimator (Shin et al., 1999) are supported. Coefficients are allowed to be heterogeneous or homogeneous. In addition instrumental variable regressions and unbalanced panels are supported. The Cross Sectional Dependence Test (CD Test) is automatically calculated and presented in the estimation output. Small sample time series bias can be corrected by jackknife correction or recursive mean adjustment. Examples for empirical applications of all estimation methods mentioned above are given

Suggested Citation

  • Jan Ditzen, 2016. "xtdcce: Estimating Dynamic Common Correlated Effects in Stata," SEEC Discussion Papers 1601, Spatial Economics and Econometrics Centre, Heriot Watt University.
    • Handle: RePEc:hwe:seecdp:1601
    as

    Download full text from publisher

    File URL: http://seec.hw.ac.uk/images/discussionpapers/SEEC_DiscussionPaper_No8.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2003. "Instrumental variables and GMM: Estimation and testing," Stata Journal, StataCorp LLC, vol. 3(1), pages 1-31, March.
    2. M. Hashem Pesaran, 2006. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," Econometrica, Econometric Society, vol. 74(4), pages 967-1012, July.
    3. Rafael E. De Hoyos & Vasilis Sarafidis, 2006. "Testing for cross-sectional dependence in panel-data models," Stata Journal, StataCorp LLC, vol. 6(4), pages 482-496, December.
    4. Robert C. Feenstra & Robert Inklaar & Marcel P. Timmer, 2015. "The Next Generation of the Penn World Table," American Economic Review, American Economic Association, vol. 105(10), pages 3150-3182, October.
    5. Edward F. Blackburne III & Mark W. Frank, 2007. "Estimation of nonstationary heterogeneous panels," Stata Journal, StataCorp LLC, vol. 7(2), pages 197-208, June.
    6. Pesaran, M. Hashem & Smith, Ron, 1995. "Estimating long-run relationships from dynamic heterogeneous panels," Journal of Econometrics, Elsevier, vol. 68(1), pages 79-113, July.
    7. Gerdie Everaert & Tom De Groote, 2016. "Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 428-463, March.
    8. Kevin Lee & M. Hashem Pesaran & Ron Smith, 1998. "Growth Empirics: A Panel Data Approach—A Comment," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 113(1), pages 319-323.
    9. N. Gregory Mankiw & David Romer & David N. Weil, 1992. "A Contribution to the Empirics of Economic Growth," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 107(2), pages 407-437.
    10. Lee, Kevin & Pesaran, M Hashem & Smith, Ron, 1997. "Growth and Convergence in Multi-country Empirical Stochastic Solow Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(4), pages 357-392, July-Aug..
    11. Ignace De Vos & Gerdie Everaert, 2016. "Bias-Corrected Common Correlated Effects Pooled Estimation In Homogeneous Dynamic Panels," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 16/920, Ghent University, Faculty of Economics and Business Administration.
    12. Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011. "Panels with non-stationary multifactor error structures," Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
    13. Markus Eberhardt, 2012. "Estimating panel time-series models with heterogeneous slopes," Stata Journal, StataCorp LLC, vol. 12(1), pages 61-71, March.
    14. Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti, 2011. "Weak and strong cross‐section dependence and estimation of large panels," Econometrics Journal, Royal Economic Society, vol. 14, pages 45-90, February.
    15. repec:idq:ictduk:10253 is not listed on IDEAS
    16. Philippe Aghion & Steven Durlauf (ed.), 2005. "Handbook of Economic Growth," Handbook of Economic Growth, Elsevier, edition 1, volume 1, number 1.
    17. M. Hashem Pesaran, 2015. "Testing Weak Cross-Sectional Dependence in Large Panels," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1089-1117, December.
    18. Nazrul Islam, 1995. "Growth Empirics: A Panel Data Approach," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 110(4), pages 1127-1170.
    19. Jones, C.I., 2016. "The Facts of Economic Growth," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 3-69, Elsevier.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Markus Eberhardt & Francis Teal, 2020. "The Magnitude of the Task Ahead: Macro Implications of Heterogeneous Technology," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 66(2), pages 334-360, June.
    2. M. Hashem Pesaran & Ron Smith, 2026. "The Output Convergence Debate Revisited: Lessons from Recent Developments in the Analysis of Panel Data Models," CESifo Working Paper Series 12479, CESifo.
    3. Markus Eberhardt & Francis Teal, 2011. "Econometrics For Grumblers: A New Look At The Literature On Cross‐Country Growth Empirics," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 109-155, February.
    4. Kyriakos Emmanouilidis & Christos Karpetis, 2022. "Cross–Country Dependence, Heterogeneity and the Growth Effects of Military Spending," Defence and Peace Economics, Taylor & Francis Journals, vol. 33(7), pages 842-856, October.
    5. Naima Chrid & Sami Saafi & Mohamed Chakroun, 2021. "Export Upgrading and Economic Growth: a Panel Cointegration and Causality Analysis," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 12(2), pages 811-841, June.
    6. Benos, Nikos & Karagiannis, Stelios, 2013. "Do Cross-Section Dependence and Parameter Heterogeneity Matter? Evidence on Human Capital and Productivity in Greece," MPRA Paper 53326, University Library of Munich, Germany.
    7. Mushtaq Ahmad Malik & Tariq Masood, 2022. "Dynamics of Output Growth and Convergence in the Middle East and North African Countries: Heterogeneous Panel ARDL Approach," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(2), pages 1444-1469, June.
    8. Vogel, Johanna, 2013. "Regional Convergence in Europe: A Dynamic Heterogeneous Panel Approach," MPRA Paper 51794, University Library of Munich, Germany.
    9. Jan Ditzen, 2021. "Estimating long-run effects and the exponent of cross-sectional dependence: An update to xtdcce2," Stata Journal, StataCorp LLC, vol. 21(3), pages 687-707, September.
    10. Lenkei, Balint & Mustafa, Ghulam & Vecchi, Michela, 2018. "Growth in emerging economies: Is there a role for education?," Economic Modelling, Elsevier, vol. 73(C), pages 240-253.
    11. Markus Eberhardt & Andrea F. Presbitero, 2013. "This Time They’re Different: Heterogeneity and Nonlinearity in the Relationship between Debt and Growth," Discussion Papers 2013/10, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    12. Daniel Goya, 2014. "The Multiple Impacts of the Exchange Rate on Export Diversification," Cambridge Working Papers in Economics 1436, Faculty of Economics, University of Cambridge.
    13. Markus Eberhardt & Francis Teal, 2011. "Econometrics For Grumblers: A New Look At The Literature On Cross‐Country Growth Empirics," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 109-155, 02.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:hwe:seecdp:1601. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Colin Miller (email available below). General contact details of provider: https://edirc.repec.org/data/dehwuuk.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.