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st: New command available on SSC

From   Ed Blackburne <[email protected]>
To   [email protected]
Subject   st: New command available on SSC
Date   Thu, 06 Sep 2007 10:34:48 -0500


Thanks to Kit Baum, -xtpmg-, a new package by Ed Blackburne and
Mark Frank, is available from the SSC Archive.

-xtpmg- is useful for estimating nonstationary heterogeneous panels in which the number of groups and number of time-series observations are both large. -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

To install the package from within Stata, type

. ssc install xtpmg

-xtpmg- is compatible with Stata 9 or newer.

Please direct any comments regarding -xtpmg- to me.


Edward F. Blackburne
Associate Professor
Economics and International Business
Sam Houston State University
[email protected]

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