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Re: st: estimation of short run coefficient in panel data with small time series and large cross section


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: estimation of short run coefficient in panel data with small time series and large cross section
Date   Thu, 25 Oct 2012 12:06:27 +0500

Although not sure if this has been implemented or not in Stata, but
there is a book chapter titled "Bayes estimation of short-run
coefficients in dynamic panel data models" in

Cheng Hsiao, M. Hashem Pesaran, Kajal Lahiri and Lung Fei Lee, 1999,
Analysis of Panels and Limited Dependent Variable Models, Cambridge
University Press

which is available online on

http://ebooks.cambridge.org/ebook.jsf?bid=CBO9780511493140.

I wish if this can help you. I would also be interested in knowing if
such a Stata module will help us to estimate the short run coefficient
in Panel/Dynamic Panel Data.

Hope this sounded of help,
Anees

On Thu, Oct 25, 2012 at 10:43 AM, Prakash Singh <prakashbhu@gmail.com> wrote:
> Dear all
>
> I have panel data with with small time points (6) and large cross
> section (>500). I was wondering is  there any method to estimate short
> run coefficients. I searched on net but could not any clue. I am
> working on stata 10.1.
>
> Your comments and help is required.
>
>
>
> Regards
> Prakash
> *
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-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com
*
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