Estimating long run effects and the exponent of cross-sectional dependence: an update to xtdcce2

Jan Ditzen

No BEMPS81, BEMPS - Bozen Economics & Management Paper Series from Faculty of Economics and Management at the Free University of Bozen

Abstract: In this paper I describe several updates to xtdcce2 (Ditzen 2018). First I explain how to estimate long run effects in models with cross-sectional dependence. Three methods to estimate the long run effects are reviewed and their implementation into Stata using xtdcce2 discussed. Two of the estimation methods build on Chudik et al. (2016); the CS-DL and the CS-ARDL estimator. As a third alternative I review an error correction model in the presence of cross-sectional dependence. Second, I explain how to estimate the exponent of cross-sectional dependence using xtcse2 following Bailey et al. (2016, 2019).

Keywords: cross section dependence; common correlated effects; error correction model; long run coefficients (search for similar items in EconPapers)
JEL-codes: C33 C87 (search for similar items in EconPapers)
Pages: [22 pages]
Date: 2021-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Journal Article: Estimating long-run effects and the exponent of cross-sectional dependence: An update to xtdcce2 (2021)
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