XTDCCE2: Stata module to estimate heterogeneous coefficient models using common correlated effects in a dynamic panel

Jan Ditzen

Statistical Software Components from Boston College Department of Economics

Abstract: xtdcce2 estimates a heterogeneous coefficient model in a dynamic panel with dependence between cross sectional units. It supports the Common Correlated Effects Estimator (CCE) by Pesaran (2006), the Dynamic Common Correlated Effects Estimator (DCCE), proposed by Chudik and Pesaran (2015) and the Mean Group Estimator (MG, Pesaran and Smith, 1995) and the Pooled Mean Group Estimator (PMG, Shin et. Al 1999). In addition, the estimation of long run coefficients using the Cross-Sectional Augmented Distributed Lag (CS-DL, Chudik et al. 2016) and Cross-Sectional Augmented ARDL (CS-ARDL, Chudik et al. 2016) are implemented. xtdcce2 tests for cross sectional dependence (if xtcd2 installed), estimates the exponent of cross-sectional dependence (if xtcse2 installed) following Bailey, Kapetanios and Pesaran (2016) and supports instrumental variable estimations (if ivreg2 installed).

Language: Stata
Requires: Stata version 10, xtcd2, xtcse2, ivreg2 and moremata from SSC (q.v.)
Keywords: dynamic panel; common correlated effects (search for similar items in EconPapers)
Date: 2016-08-07, Revised 2024-06-06
Note: This module should be installed from within Stata by typing "ssc install xtdcce2". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2fast.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2fast.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtset2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtset2.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2_auxiliary.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2_estat.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/b/bootstrap_xtdcce2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2_xtcd2_helpfile.do sample do file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2_sample_dataset.dta sample data file (application/x-stata)

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