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XTPMG: Stata module for estimation of nonstationary heterogeneous panels

Edward Blackburne and Mark Frank ()

Statistical Software Components from Boston College Department of Economics

Abstract: We introduce a new Stata command, xtpmg, for estimating nonstationary heterogeneous panels in which the number of groups and number of time-series observations are both large. Based on recent advances in the nonstationary panel literature, xtpmg provides three alternative estimators: a traditional fixed-effects estimator, the mean-group estimator of Pesaran and Smith (Estimating long-run relationships from dynamic heterogeneous panels, Journal of Econometrics 68: 79-113), and the pooled mean-group estimator of Pesaran, Shin, and Smith (Estimating long-run relationships in dynamic heterogeneous panels, DAE Working Papers Amalgamated Series 9721; Pooled mean group estimation of dynamic heterogeneous panels, Journal of the American Statistical Association 94: 621-634). This routine is described in Stata Journal, 2007, 7:2, 197-208.

Language: Stata
Requires: Stata version 9
Keywords: xtpmg; nonstationary panels; heterogeneous dynamic panels; pooled mean-group estimator; mean-group estimator; panel cointegration (search for similar items in EconPapers)
Date: 2007-09-05
Note: This module should be installed from within Stata by typing "ssc install xtpmg". The module is made available under terms of the GPL v3 ( Windows users should not attempt to download these files with a web browser.
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