Estimation of nonstationary heterogeneous panels

Edward F. Blackburne and Mark W. Frank ()

Stata Journal, 2007, vol. 7, issue 2, pages 197-208

Abstract: We introduce a new Stata command, xtpmg, for estimating nonstationary heterogeneous panels in which the number of groups and number of time-series observations are both large. Based on recent advances in the nonstationary panel literature, xtpmg provides three alternative estimators: a traditional fixed-effects estimator, the mean-group estimator of Pesaran and Smith (Estimating long-run relationships from dynamic heterogeneous panels, Journal of Econometrics 68: 79-113), and the pooled mean-group estimator of Pesaran, Shin, and Smith (Estimating long-run relationships in dynamic heterogeneous panels, DAE Working Papers Amalgamated Series 9721; Pooled mean group estimation of dynamic heterogeneous panels, Journal of the American Statistical Association 94: 621-634). Copyright 2007 by StataCorp LP.

Keywords: xtpmg; nonstationary panels; heterogeneous dynamic panels; pooled mean-group estimator; mean-group estimator; panel cointegration (search for similar items in EconPapers)
Date: 2007
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