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Re: st: Pooled Mean Group Estimator


From   Clive Nicholas <clivelists@googlemail.com>
To   statalist@hsphsun2.harvard.edu
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!

Typing

. findit pooled mean group estimator

brought up

----------------------------------------------------------------------------------------------------------------------------------
package xtpmg from http://fmwww.bc.edu/RePEc/bocode/x
----------------------------------------------------------------------------------------------------------------------------------

TITLE
      'XTPMG': module for estimation of nonstationary heterogeneous panels

DESCRIPTION/AUTHOR(S)

      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 blackburne@shsu.edu

      Author: Mark W. Frank , Sam Houston State University
      Support: email mcmarkfrank@shsu.edu


INSTALLATION FILES                                  (click here to install)
      xtpmg.ado
      xtpmg_ml.ado
      xtpmg.hlp

ANCILLARY FILES                                     (click here to get)
      xtpmg_examples.do
      ../j/jasa2.dta
----------------------------------------------------------------------------------------------------------------------------------

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

-- 
Clive Nicholas

[Please DO NOT mail me personally here, but at
<clivenicholas@hotmail.com>. Please respond to contributions I make in
a list thread here. Thanks!]

"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.
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