XTMG: Stata module to estimate panel time series models with heterogeneous slopes

Markus Eberhardt

Statistical Software Components from Boston College Department of Economics

Abstract: The xtmg command implements three estimators from the recent panel time series literature which allow for heterogeneous slopes across panel units: the Pesaran and Smith (1995) Mean Group estimator, the Pesaran (2006) Common Correlated Effects Mean Group estimator and the Augmented Mean Group estimator introduced in Eberhardt and Teal (2010) and Bond and Eberhardt (2009). The latter two allow for cross-section dependence in the panel and have been shown to perform well in (co-)integrated panels. The routine allows for a number of options, including the computation of outlier-robust means (implemented using the rreg command), presentation of the group-specific regression results and the calculation of residual series based on the group-specific estimates.

Language: Stata
Requires: Stata version 10
Keywords: Panel data; Common Factor Model; Common Correlated Effects; Cross-Section Dependence (search for similar items in EconPapers)
Date: 2011-02-06, Revised 2013-07-25
Note: This module should be installed from within Stata by typing "ssc install xtmg". 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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http://fmwww.bc.edu/repec/bocode/x/xtmg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtmg.sthlp help file (text/plain)

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