Estimating panel time-series models with heterogeneous slopes

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).


Issue Date:
2012
Publication Type:
Journal Article
DOI and Other Identifiers:
st0246 (Other)
PURL Identifier:
http://purl.umn.edu/202124
Published in:
Stata Journal, Volume 12, Number 1
Page range:
61-71
Total Pages:
13

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 Record created 2017-04-01, last modified 2017-08-22

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