st: New Panel Time Series commands available from SSC

[Markus Eberhardt <markus.eberhardt@economics.ox.ac.uk>]

A number of panel time series methods are now available from SSC
(thanks to Kit Baum for his generous help):

XTMG - Estimating panel time series models with heterogeneous slopes
Version: 1.0.1 - 8th February 2011 - in Stata: ssc install xtmg
This command implements the Pesaran and Smith (1995) Mean Group (MG)
estimator, the Pesaran (2006) Common Correlated Effects Mean Group
(CCEMG) estimator and the Augmented Mean Group (AMG) estimator
introduced in Eberhardt  and Teal (2010) and discussed and tested in
Bond and Eberhardt (2010). For these macro panel estimators the
cross-panel average estimates can be reported as unweighted or
outlier-robust means, where the latter is implemented via the rreg
command. Optionally the routine reports the group-specific regression
results and produces residuals based on these. The example in the
helpfile links to a dataset (+ related working paper) and goes through
all the options of the command.

MULTIPURT - Investigating variable nonstationarity in macro panels
Version: 1.0.1 - 8th February 2011 - in Stata: ssc install multipurt
This command runs the Maddala and Wu (1999) as well as the Pesaran
(2007) panel unit root tests for multiple variables and lags. This is
*not* a new command for these panel unit root tests but a convenient
tool using the existing xtfisher and pescadf commands written by Scott
Merryman and Piotr Lewandowski respectively (both commands need to be
installed for multipurt to work). The example in the helpfile links to
a dataset (+ related working paper) and goes through all the options
of the command.

Further routines to be posted/updated soon:

XTCD - Investigating variable and residual cross-section dependence in
macro panels
Version: 1.0.0 - 6th February 2011 - in Stata: ssc install xtcd
This command implements the Pesaran (2004) CD test for cross-section
dependence in panel time-series data. The routine builds on the xtcsd
command by De Hoyos and Sarafidis (2006) but is not a post-estimation
command: xtcd can be applied to variables as well as to residuals,
provided the latter have been previously computed as a separate
variable series (using for instance the xtmg command). Furthermore, in
the multipurt spirit up to 9 variable or residuals series can be
tested together. The example in the helpfile links to a dataset (+
related working paper) and goes through all the options of the
command. NOTE: The Mata version of this command (under construction)
will reduce the matsize requirements and also correct a couple of bugs
related to average T and panel balancedness.

XTECTEST - Investigating heterogeneous panel cointegration with an
error correction test
This command implements the error correction based cointegration test
by Gengenbach, Urbain and Westerlund (2009), which builds on earlier
work by Westerlund (2007). The test investigates error correction at
the group-level (e.g. country) and can account for cross-section
dependence.


Markus Eberhardt
ESRC Post-doctoral Research Fellow, Centre for the Study of African
Economies, Department of Economics, University of Oxford
Stipendiary Lecturer, St Catherine's College, Oxford
web: http://sites.google.com/site/medevecon/home
email: markus.eberhardt@economics.ox.ac.uk
twitter: http://twitter.com/sjoh2052
mail: Centre for the Study of African Economies, Department of
Economics, Manor Rd, Oxford OX1 3UQ, England
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