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Blackburne, Edward F. III; Frank, Mark W.. |
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:... |
Tipo: Article |
Palavras-chave: Xtpmg; Nonstationary panels; Heterogeneous dynamic panels; Pooled mean-group estimator; Mean-group estimator; Panel cointegration; Research Methods/ Statistical Methods. |
Ano: 2007 |
URL: http://purl.umn.edu/119268 |
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