Estimating panel time-series models with heterogeneous slopes

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dc.creatorEberhardt, Markus
dc.date2017-04-01T14:03:30Z
dc.date.accessioned2026-07-09T09:06:34Z
dc.descriptionThis 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).
dc.identifierOther:st0246
dc.identifierdoi:10.22004/ag.econ.202124
dc.identifierhttps://ageconsearch.umn.edu/record/202124/files/sjart_st0246.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/202124
dc.identifier.urihttp://hdl.handle.net/123456789/605801
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/202124
dc.titleEstimating panel time-series models with heterogeneous slopes
dc.typeText

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