Estimation of Nonstationary Heterogeneous Panels

Edward F. Blackburne · Mark W. Frank

822 citations0/0 files storedThe Stata Journal Promoting communications on statistics and Stata

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Spatial and Panel Data Analysis Economic Growth and Productivity Statistical Methods and Bayesian Inference

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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References

1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations 2003Testing for unit roots in heterogeneous panels 2021Econometric Analysis of Panel Data 1999Pooled Mean Group Estimation of Dynamic Heterogeneous Panels 1995Estimating long-run relationships from dynamic heterogeneous panels

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