The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Estimating Dynamic Common-Correlated Effects in Stata
Open accessAbstract
In this article, I introduce a new command, xtdcce2, that fits a dynamic common-correlated effects model with heterogeneous coefficients in a panel with a large number of observations over cross-sectional units and time periods. The estimation procedure mainly follows Chudik and Pesaran (2015b, Journal of Econometrics 188: 393–420) but additionally supports the common correlated effects estimator (Pesaran, 2006, Econometrica 74: 967–1012), the mean group estimator (Pesaran and Smith, 1995, Journal of Econometrics 68: 79–113), and the pooled mean group estimator (Pesaran, Shin, and Smith, 1999, Journal of the American Statistical Association, 94: 621–634). xtdcce2 allows heterogeneous or homogeneous coefficients and supports instrumental-variable regressions and unbalanced panels. The cross-sectional dependence test is automatically calculated and presented in the estimation output. Small-sample time-series bias can be corrected by “half-panel” jackknife correction or recursive mean adjustment. I carry out a simulation to prove the estimator's consistency.
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Cites
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 3×
“xtdcce2 can compute the MG and CCE estimator by Pesaran and Smith (1995) and Pesaran (2006), introduced by Eberhardt (2012) via the xtmg command.”
Testing Weak Cross-Sectional Dependence in Large Panels
Pesaran, M. H. (2015) · Econometric Reviews · doi:10.1080/07474938.2014.956623 · Cited by 2,950
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Alharbi, S., Al Mamun, M., Sabri, B., & Rizvi, S. R. (2022) · SSRN Electronic Journal · doi:10.2139/ssrn.4315725 · Cited by 353
ardl: Estimating autoregressive distributed lag and equilibrium correction models
Kripfganz, S., & Schneider, D. C. (2023) · The Stata Journal: Promoting communications on statistics and Stata · doi:10.1177/1536867x231212434 · Cited by 299
Metadata
- Authors
- Ditzen, J.
- Venue
- The Stata Journal: Promoting communications on statistics and Stata
- Publisher
- SAGE Publications
- Published
- 2018-09
- Volume
- 18
- Issue
- 3
- Pages
- 585-617
- ISSN
- 1536-867X (ISSN-L)
- 1536-8734
- OpenAlex
- W2902408404
- Cited by
- 329
- References
- 2
- FWCI
- 25.96
- Type
- journal article
- Language
- en
- Open access
- bronze
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