Estimation of nonstationary heterogeneous panels

被引：448

作者：

Blackburne, Edward F., III ^{[1
]}

Frank, Mark W. ^{[1
]}

机构：

[1] Sam Houston State Univ, Dept Econ & Int Business, Huntsville, TX 77340 USA

来源：

STATA JOURNAL | 2007年 / 7卷 / 02期

关键词：

st0125; xtpmg; nonstationary panels; heterogeneous dynamic panels; pooled mean-group estimator; mean-group estimator; panel cointegration; MEAN GROUP ESTIMATION;

D O I：

10.1177/1536867X0700700204

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

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).

引用

页码：197 / 208

页数：12

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