Journal
STATA JOURNAL
Volume 12, Issue 1, Pages 61-71Publisher
STATA PRESS
DOI: 10.1177/1536867X1201200105
Keywords
st0246; xtmg; nonstationary panels; parameter heterogeneity; crosssectional dependence
Funding
- Stata Journal
- ESRC [ES/G014469/1] Funding Source: UKRI
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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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