XTMG: Stata module to estimate panel time series models with heterogeneous slopes

Markus Eberhardt ()

Statistical Software Components from Boston College Department of Economics

Abstract: The xtmg command implements three estimators from the recent panel time series literature which allow for heterogeneous slopes across panel units: the Pesaran and Smith (1995) Mean Group estimator, the Pesaran (2006) Common Correlated Effects Mean Group estimator and the Augmented Mean Group estimator introduced in Eberhardt and Teal (2010) and Bond and Eberhardt (2009). The latter two allow for cross-section dependence in the panel and have been shown to perform well in (co-)integrated panels. The routine allows for a number of options, including the computation of outlier-robust means (implemented using the rreg command), presentation of the group-specific regression results and the calculation of residual series based on the group-specific estimates.

Language: Stata
Requires: Stata version 10
Keywords: Panel data; Common Factor Model; Common Correlated Effects; Cross-Section Dependence (search for similar items in EconPapers)
Date: 2011-02-06, Revised 2011-02-08
Note: This module should be installed from within Stata by typing "ssc install xtmg". Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtmg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtmg.sthlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s457238

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().