Work

Estimating Panel Time-Series Models with Heterogeneous Slopes

Year: 2012

Type: article

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).

Source: The Stata Journal Promoting communications on statistics and Stata

DOI: 10.1177/1536867x1201200105

Author: Markus Eberhardt

Institution: University of Nottingham

Language: English

Topic: Spatial and Panel Data Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Economic and Social Research Council

Award: G8139338203