Home
Home  >>  Archives  >>  Volume 12 Number 1  >>  st0246

The Stata Journal
Volume 12 Number 1: pp. 61-71



Subscribe to the Stata Journal
cover

Estimating panel time-series models with heterogeneous slopes

Markus Eberhardt
School of Economics
University of Nottingham
Nottingham, UK
markus.eberhardt@nottingham.ac.uk
Abstract.  This article introduces a new Stata command, xtmg, that implements three panel time-series estimators, allowing for heterogeneous slope coefficients across group members: the Pesaran and Smith (1995, Journal of Econometrics 68: 79–113) mean group estimator, the Pesaran (2006, Econometrica 74: 967–1012) common correlated effects mean group estimator, and the augmented mean group estimator introduced by Eberhardt and Teal (2010, Discussion Paper 515, Department of Economics, University of Oxford). The latter two estimators further allow for unobserved correlation across panel members (cross-section dependence).
Terms of use     View this article (PDF)

View all articles by this author: Markus Eberhardt

View all articles with these keywords: xtmg, nonstationary panels, parameter heterogeneity, cross-sectional dependence

Download citation: BibTeX  RIS

Download citation and abstract: BibTeX  RIS

Contact StataCorp

Contact service@stata-journal.com if you have questions about the Stata Journal.

© Copyright 2001–2014 StataCorp LP.   Terms of use.   Privacy policy.