Estimating long run e ects in models with cross-sectional dependence using xtdcce2

Jan Ditzen

No 7, CEERP Working Paper Series from Centre for Energy Economics Research and Policy, Heriot-Watt University

Abstract: This paper describes how to estimate long run effects in a large heterogeneous panel data model with cross sectional dependence in Stata using the user written command xtdcce2. It builds on Chudik et al. (2016) and explains how to estimate models using the CS-DL and CS-ARDL estimator. In addition it includes a method how to estimate an error correction model.

Keywords: xtdcce2; parameter heterogeneity; dynamic panels; cross section dependence; common correlated effects; pooled mean-group estimator; mean-group estimator; error correction model; ardl; long run coefficients (search for similar items in EconPapers)
JEL-codes: C31 C32 C33 C38 C87 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2019-03
New Economics Papers: this item is included in nep-dcm and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://ceerp.hw.ac.uk/RePEc/hwc/wpaper/007.pdf First version, 2019 (application/pdf)

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: https://EconPapers.repec.org/RePEc:hwc:wpaper:007

Access Statistics for this paper

More papers in CEERP Working Paper Series from Centre for Energy Economics Research and Policy, Heriot-Watt University
Bibliographic data for series maintained by Antonio Carvalho ( this e-mail address is bad, please contact ).