Xtpb: The Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogeneous Panels

Priyanka Asnani (), Alexander Chudik and Braden Strackman

No 429, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: This paper introduces a new Stata command, xtpb, that implements the Chudik, Pesaran and Smith (2023a) Pooled Bewley (PB) estimator of long-run relationships in dynamic heterogeneous panel-data models. The PB estimator is based on the Bewley (1979) transform of the autoregressive-distributed lag model and it is applicable under a similar setting as the widely used pooled mean group (PMG) estimator of Pesaran, Shin and Smith (1999). 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 (2023a).

Keywords: Pooled Bewley (PB) estimator; pooled mean group estimator (PMG); Heterogeneous dynamic panels; Autoregressive-Distributed Lag model (ARDL); cross-sectional dependence; bias-correction; bootstrap; xtpb (search for similar items in EconPapers)
JEL-codes: C12 C13 C23 C33 (search for similar items in EconPapers)
Pages: 15
Date: 2024-08-20
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Journal Article: xtpb: The pooled Bewley estimator of long-run relationships in dynamic heterogeneous panels (2025)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:98722

DOI: 10.24149/gwp429

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