Estimation of nonstationary heterogeneous panels
Abstract. We introduce a new Stata command, xtpmg, for estimating nonstationary
heterogeneous panels in which the number of groups and number of time-series
observations are both large. Based on recent advances in the nonstationary
panel literature, xtpmg provides three alternative estimators: a
traditional fixed-effects estimator, the mean-group estimator of Pesaran and
Smith (Estimating long-run relationships from dynamic heterogeneous panels,
Journal of Econometrics 68: 79–113), and the pooled mean-group
estimator of Pesaran, Shin, and Smith (Estimating long-run relationships in
dynamic heterogeneous panels, DAE Working Papers Amalgamated Series 9721;
Pooled mean group estimation of dynamic heterogeneous panels, Journal of
the American Statistical Association 94: 621–634).
View all articles by these authors:
Edward F. Blackburne III, Mark W. Frank
View all articles with these keywords:
xtpmg, nonstationary panels, heterogeneous dynamic panels, pooled mean-group estimator, mean-group estimator, panel cointegration
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