Estimating panel time-series models with heterogeneous slopes

Eberhardt, Markus

Abstract

This article introduces a new Stata command, xtmg, that implementsthree 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). © 2012 StataCorp LP.

Citation

Eberhardt, M. (2012). Estimating panel time-series models with heterogeneous slopes. Stata Journal, 12(1), 61-71. https://doi.org/10.1177/1536867x1201200105

• Journal Article Type: Article
• Online Publication Date: Mar 1, 2012
• Publication Date: Mar 1, 2012
• Deposit Date: Mar 26, 2021
• Journal: Stata Journal
• Print ISSN: 1536-867X
• Electronic ISSN: 1536-8734
• Publisher: StataCorp
• Peer Reviewed: Peer Reviewed
• Volume: 12
• Issue: 1
• Pages: 61-71
• DOI: https://doi.org/10.1177/1536867x1201200105
• Public URL: https://nottingham-repository.worktribe.com/output/4822627
• Publisher URL: https://journals.sagepub.com/doi/10.1177/1536867X1201200105