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Re: st: Pooled Mean Group Estimator

From   Clive Nicholas <>
Subject   Re: st: Pooled Mean Group Estimator
Date   Fri, 4 Sep 2009 07:16:30 +0100

Hope Kayiska Chavula wrote:

> Could somebody advise how one could carry out this estimation (PMG) in Stata. I understand some econometricians have come up with a program to do this easier. Please help!


. findit pooled mean group estimator

brought up

package xtpmg from

      'XTPMG': module for estimation of nonstationary heterogeneous panels


      We introduce a new Stata command, xtpmg, for estimating
      nonstationary  heterogeneous panels in which the number of groups
      and number of time-series  observations are both large. Based on
      recent advances in the nonstationary panel  literature, xtpmg
      provides three alternative estimators: a traditional
      fixed-effects  estimator, the mean-group estimator of Pesaran and
      Smith (Estimating long-run  relationships from dynamic
      heterogeneous panels, Journal of Econometrics 68:  79-113), and
      the pooled mean-group estimator of Pesaran, Shin, and Smith
      (Estimating long-run relationships in dynamic heterogeneous
      panels, DAE Working  Papers Amalgamated Series 9721; Pooled mean
      group estimation of dynamic  heterogeneous panels, Journal of the
      American Statistical Association 94: 621-634).  This routine is
      described in Stata Journal, 2007, 7:2, 197-208.

      KW:  xtpmg
      KW: nonstationary panels
      KW: heterogeneous dynamic panels
      KW: pooled mean-group estimator
      KW: mean-group estimator
      KW: panel cointegration

      Requires: Stata version 9

      Distribution-Date: 20070905

      Author: Edward F. Blackburne III  , Sam Houston State University
      Support: email

      Author: Mark W. Frank , Sam Houston State University
      Support: email

INSTALLATION FILES                                  (click here to install)

ANCILLARY FILES                                     (click here to get)

Tip: in future, consult -findit- within your Stata before consulting
Statalist with a basic query.

Clive Nicholas

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