The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Estimation of Nonstationary Heterogeneous Panels
Open accessAbstract
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).
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Citations
Cites
Testing for unit roots in heterogeneous panels
Im, K. S., Pesaran, M. H., & Shin, Y. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00092-7 · Cited by 15,435
Estimating long-run relationships from dynamic heterogeneous panels
Pesaran, M. H., & Smith, R. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01644-f · Cited by 5,479 · cited 2×
“This is the MG estimator proposed by Pesaran and Smith (1995). With this estimator, the intercepts, slope coefficients, and error variances are all allowed to differ across groups. More recently, Pesaran, Shin, and Smith (1997, 1999) have proposed a PMG estimator that combines both pooling and averaging. This intermed…”
Cited by
Samargandi, N., Fidrmuc, J., & Ghosh, S. (2015) · World Development · doi:10.1016/j.worlddev.2014.11.010 · Cited by 647
Cao, X., Kannaiah, D., Ye, L., Khan, J., Shabbir, M. S., Bilal, K., & Tabash, M. I. (2022) · Environmental Science and Pollution Research · doi:10.1007/s11356-022-18772-4 · Cited by 78
Metadata
- Authors
- Blackburne, E. F., & Frank, M. W.
- Venue
- The Stata Journal: Promoting communications on statistics and Stata
- Publisher
- SAGE Publications
- Published
- 2007-06
- Volume
- 7
- Issue
- 2
- Pages
- 197-208
- ISSN
- 1536-867X (ISSN-L)
- 1536-8734
- OpenAlex
- W1522868891
- Cited by
- 818
- References
- 2
- FWCI
- 11.43
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Blackburne, E. F., & Frank, M. W. (2007). Estimation of Nonstationary Heterogeneous Panels. The Stata Journal: Promoting communications on statistics and Stata. https://doi.org/10.1177/1536867x0700700204
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