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The Stata Journal
Volume 7 Number 2: pp. 197-208

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Estimation of nonstationary heterogeneous panels

Edward F. Blackburne III
Sam Houston State University
Huntsville, TX
Mark W. Frank
Sam Houston State University
Huntsville, TX
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).
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