Hope Kayiska Chavula wrote:
> Could somebody advise how one could carry out this estimation (PMG) in Stata. I understand some econometricians have come up with a program to do this easier. Please help!
Typing
. findit pooled mean group estimator
brought up
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package xtpmg from http://fmwww.bc.edu/RePEc/bocode/x
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TITLE
'XTPMG': module for estimation of nonstationary heterogeneous panels
DESCRIPTION/AUTHOR(S)
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). This routine is
described in Stata Journal, 2007, 7:2, 197-208.
KW: xtpmg
KW: nonstationary panels
KW: heterogeneous dynamic panels
KW: pooled mean-group estimator
KW: mean-group estimator
KW: panel cointegration
Requires: Stata version 9
Distribution-Date: 20070905
Author: Edward F. Blackburne III , Sam Houston State University
Support: email [email protected]
Author: Mark W. Frank , Sam Houston State University
Support: email [email protected]
INSTALLATION FILES (click here to install)
xtpmg.ado
xtpmg_ml.ado
xtpmg.hlp
ANCILLARY FILES (click here to get)
xtpmg_examples.do
../j/jasa2.dta
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Tip: in future, consult -findit- within your Stata before consulting
Statalist with a basic query.
--
Clive Nicholas
[Please DO NOT mail me personally here, but at
<[email protected]>. Please respond to contributions I make in
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"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.
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