XTCAEC: Stata module to estimate heterogeneous error correction models in cross-sectional dependent panel data

Korbinian Nagel ()
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Korbinian Nagel: Helmut Schmidt University

Statistical Software Components from Boston College Department of Economics

Abstract: xtcaec augments error correction models with cross-sectional averages of all variables in order to eliminate the differential impacts of unobserved common factors. The routine estimates individual error correction models for each panel member i and, then, calculates mean-group estimates of the error correction and the long-run coefficients. In addition, it investigates whether the empirical model can remove cross-sectional dependence from the model residual. xtcaec is a wrapper and executes existing user written Stata routines, in particular xtmg and xtcd2.

Language: Stata
Requires: Stata version 13.1 and coefplot, xtcd2, moremata from SSC (q.v.)
Keywords: error correction; cross-section averages; common factors; mean group (search for similar items in EconPapers)
Date: 2017-02-17, Revised 2017-05-18
Note: This module should be installed from within Stata by typing "ssc install xtcaec". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtcaec.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcaec.sthlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458306

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