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st: Stationary panel model with variable coefficients


From   "Alfred Stiglbauer" <Alfred.Stiglbauer@oenb.at>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Stationary panel model with variable coefficients
Date   Tue, 03 Feb 2009 18:05:50 +0100

Dear all,

I would like to estimate a simple panel model with variable coefficients which involves computing simple averages of individual-specific coefficients. (This is sometimes called the mean-group model.) I want to compare this model with Swamy's random coefficient model implmented in the xtrc command (which effectively calculates a weighted average of individual coefficients).

If one were just interested in the coefficients one could get along with a simple program, but when one wants to make tests etc. it becomes quite difficult.

Is there a simple solution for this problem available? I am aware of the xtpmg command. But this appears not to be suited because it involves long-run relationships and error correction. I, instead, just want to estimate a simple stationary panel model (as defined in Hsiao's 2003 book, chapter 6).

Any help or hint would be very appreciated.

Best --Alfred
-- 

Alfred Stiglbauer
Oesterreichische Nationalbank (OeNB)
Abteilung fuer volkswirtschaftliche Analysen - Economic Analysis Division
Otto-Wagner-Platz 3, A-1090  Wien,   A u s t r i a
Phone +43 (0)1 40420, ext. 7435
Mobile +43 (0)664 8580706
Fax +43 (0)1 40420, ext. 7499
alfred.stiglbauer@oenb.at
www.oenb.at 



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