articleThe Stata Journal Promoting communications on statistics and StataMar 1, 2012BRONZE OA

Estimating Panel Time-Series Models with Heterogeneous Slopes

MEMarkus Eberhardt

University of Nottingham

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Abstract

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).

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Topics & keywords

Topics
Keywords
  • Estimator
  • Econometrics
  • Panel data
  • Series (stratigraphy)
  • Statistics
  • Mathematics
  • Economics
  • Group (periodic table)
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