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This is a topic that was raised before here: http://www.stata.com/statalist/archive/2011-06/msg00919.html but there was not a definitive answer to why. use C:\jasa2.dta ,clear *which can be downloaded from http://ideas.repec.org/c/boc/bocode/s456868.html tsset id year * Additional variables for xtmg gen dc=d.c gen lc=l.c gen dy=d.y gen dpi=d.pi gen lpi=l.pi gen ly=l.y gen ldc=l.d.c gen ldy=l.d.y gen ldpi=l.d.pi *Example 1: Bivariate example: xtpmg, xtwest and xtmg * Comparison of the Mean-Group Estimator in the ADL(1,1) xtwest c y , mg lags(0) constant xtpmg d.c d.y , lr(l.c l.y) mg replace xtmg dc lc dy ly nlcom (_b[ly]/(-_b[lc])) *Example 2: Empirical application: The consumption function with c (consumption) y (income) and pi (inflation) * Compariosn of the MG estimator in the ADL(2,2,2) xtwest c y pi , mg lags(1) constant *xtpmg xtpmg d.c l.d.c d.y l.d.y d.pi l.d.pi, lr(l.c l.y l.pi) mg replace *xtmg: xtmg dc ldc dy ldy dpi ldpi lc ly lpi nlcom (_b[ly]/(-_b[lc])) (_b[lpi]/(-_b[lc])) * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/