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Re: st: mean group

From   Markus Eberhardt <>
Subject   Re: st: mean group
Date   Tue, 21 Jun 2011 14:20:38 +0100

xtpmg (Blackburn and Frank) with option -mg- gives you an ECM version
(well, it reports the implied long-run results as well as the
short-run results; an option to see the results country by country is
also given).

ARDL means autoregressive distributed lag, which is a levels
regression with lagged dependent variable and contemporaneous and
lagged covariates. This is mathematically equivalent to an ECM, which
has the first difference of y as dependent variable and then adds
lagged levels of y and x as well as contemporaneous and lagged
differences of x (and lagged ones of y, too) as covariates. Hendry
(1995) 'Dynamic Econometrics' has a discussion for a single time
series how ARDL is the encompassing specification for a lot of dynamic
models, including ECM. In terms of interpretation of coefficients you
will get the same long-run results, although they're constructed
differently. Furthermore, an ECM approach allows you to impose a
long-run relationship (y-beta*x) as 'ecm' variable in order to focus
on short-run dynamics and the speed of convergence/error correction

If you create lags manually (gen lx=l.x etc.) you can also use my xtmg command.

Both xtpmg and xtmg commands can be found using -findit- in Stata.


Markus Eberhardt
ESRC Post-doctoral Research Fellow, Centre for the Study of African
Economies, Department of Economics, University of Oxford
Stipendiary Lecturer, St Catherine's College, Oxford

mail: Centre for the Study of African Economies, Department of
Economics, Manor Rd, Oxford OX1 3UQ, England

On 21 June 2011 13:30, Nahla Samargandi <> wrote:
> Hi,
> I would like know the right command for mean group MG  estimator in error correction model form (ARDL)developed by Pesaran 1999,
> thank you in advance for your help
> *
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