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st: Stationary panel model with variable coefficients


From   Alfred Stiglbauer <a.stiglbauer@gmx.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: Stationary panel model with variable coefficients
Date   Wed, 04 Feb 2009 14:29:00 +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
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