xtpb: The pooled Bewley estimator of long-run relationships in dynamic heterogeneous panels

Priyanka Asnani (), Alexander Chudik and Braden Strackman ()
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Priyanka Asnani: Federal Reserve Bank of Dallas
Braden Strackman: Federal Reserve Bank of Dallas

Stata Journal, 2025, vol. 25, issue 1, 136-150

Abstract: In this article, we introduce a new command, xtpb, that implements the Chudik, Pesaran, and Smith (Forthcoming, Econometrics and Statistics, https: //doi.org/10.1016/j.ecosta.2023.11.001) pooled Bewley (PB) estimator of long- run relationships in dynamic heterogeneous panel-data models. The PB estimator is based on the Bewley (1979, Economics Letters 3: 357–361) transform of the autoregressive-distributed lag model, and it is applicable under a similar setting to the widely used pooled mean group estimator of Pesaran, Shin, and Smith (1999, Journal of the American Statistical Association 94: 621–634). Two bias-correction methods and a bootstrapping algorithm for more accurate small-sample inference robust to arbitrary cross-sectional dependence of errors are also implemented. An empirical illustration reproduces the PB estimates of the consumption function as in Chudik, Pesaran, and Smith (Forthcoming).

Keywords: tpb; pooled Bewley (PB) estimator; pooled mean group (PMG) estimator; heterogeneous dynamic panels; I(1) regressors; autoregressive-distribut- ed lag model; cross-sectional dependence; bias-correction; bootstrapping (search for similar items in EconPapers)
Date: 2025
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http://hdl.handle.net/10.1177/1536867X251322965

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Working Paper: Xtpb: The Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogeneous Panels (2024)
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DOI: 10.1177/1536867X251322965

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