XTLONGESTIM: Stata module providing long-run and mean-coefficient estimators with small-T bias correction for dynamic heterogeneous panels

Merwan Roudane ()

Statistical Software Components from Boston College Department of Economics

Abstract: xtlongestim unifies, in a single command, the estimators of the long-run and mean short-run coefficients of dynamic heterogeneous panels developed in Pesaran and Zhao (1999) and Hsiao, Pesaran and Tahmiscioglu (1999). The mean group (MG) estimator of the long-run coefficient is consistent but, as both papers show, can carry substantial bias when the time dimension T is small, because of (a) the small-T bias of the short-run least-squares estimates of lambda(i) and beta(i), and (b) the nonlinearity of beta/(1-lambda). xtlongestim implements the bias-reduction and Bayes shrinkage procedures proposed to deal with this, several of which had not previously been available in Stata.

Language: Stata
Requires: Stata version 15.1
Keywords: panel data; heterogenous panels; small-T panels; mean group estimator (search for similar items in EconPapers)
Date: 2026-06-28
Note: This module should be installed from within Stata by typing "ssc install xtlongestim". 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/xtlongestim.ado
http://fmwww.bc.edu/repec/bocode/x/xtlongestim.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtlongestim_postestimation.sthlp
http://fmwww.bc.edu/repec/bocode/x/xtlongestim_example.do

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