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st: xtpmg command (Pesaran and Smith, 1995) and VAR


From   Katia Bobulova <katia.bobulova@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtpmg command (Pesaran and Smith, 1995) and VAR
Date   Fri, 27 Aug 2010 17:41:19 +0100

Dear All,

I have 15 VAR, one for each province of my dataset.

I need to do a Mean Group Estimator as in Pesaran and Smith (1995). I
found the command in stata that is xtpmg with the mg option.

This is the command for my VAR:

by province, sort: eststo: var x y, exog(avg_y avg_x) level(90)

I want to find the MG estimates for each coefficient in my VAR among
the provinces and the relating standard error.

Could you please help me in doing this?

Thank you very much.

Katia
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