Estimating Panel Time-Series Models with Heterogeneous Slopes

Markus Eberhardt

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

Abstract

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).

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References

1991Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations 1998Initial conditions and moment restrictions in dynamic panel data models 2003Testing for unit roots in heterogeneous panels 1992A Contribution to the Empirics of Economic Growth 2002Unit root tests in panel data: asymptotic and finite-sample properties 2007A simple panel unit root test in the presence of cross‐section dependence 1999A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test 1999Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors

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