Estimating panel time-series models with heterogeneous slopes
Markus Eberhardt
School of Economics
University of Nottingham
Nottingham, UK
[email protected]
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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).
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Markus Eberhardt
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xtmg, nonstationary panels, parameter heterogeneity, cross-sectional dependence
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