Estimating panel time-series models with heterogeneous slopes

被引：413

作者：

Eberhardt, Markus ^{[1
]}

机构：

[1] Univ Nottingham, Sch Econ, Nottingham NG7 2RD, England

来源：

STATA JOURNAL | 2012年 / 12卷 / 01期

关键词：

st0246; xtmg; nonstationary panels; parameter heterogeneity; crosssectional dependence; UNIT-ROOT TESTS; COINTEGRATION TESTS; ERROR-CORRECTION; GROWTH;

D O I：

10.1177/1536867X1201200105

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：

This article introduces a new Stata command, xtmg, that implements three 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).

引用

页码：61 / 71

页数：11

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