*! version 1.0.0 26jun2026 Dr Merwan Roudane

Title

xtlongestim postestimation -- Postestimation tools for xtlongestim

Postestimation commands

The following standard postestimation commands are available after xtlongestim.

command

estat summarize summary of the estimation sample

estimates cataloging of estimation results

lincom point estimates, std. errors, tests of linear combinations of the posted long-run coefficients

test, testnl Wald tests on the posted long-run coefficients

xtlongestim posts, in e(b)/e(V), the long-run coefficients of the
primary method (the first method in methods() that has a long-run row;
the default primary method is mg). Linear/nonlinear postestimation therefore
operates on that estimator. Typing xtlongestim with no arguments replays
the full comparison table.

The complete set of estimates from every requested method is always available in the
matrices e(LR_b) / e(LR_se) (long-run, one row per method) and
e(SR_b) / e(SR_se) (mean short-run, one row per method). The row order is

e(LR_b): mg nbc dbc1 dbc2 bsbc bcmg ebayes hbayes pols

e(SR_b): pols mg bcmg ebayes hbayes

Rows for methods that were not requested contain missing values.

Examples

. webuse grunfeld, clear

. xtset company year

. xtlongestim invest mvalue kstock, methods(all)

Replay the comparison table:

. xtlongestim

Wald test on the posted (primary) long-run coefficients:

. test mvalue = 0

Pull the DBC1 long-run estimate of mvalue out of the result matrix:

. matrix list e(LR_b)

. display el("e(LR_b)", 3, 1)

Author

Dr Merwan Roudane

merwanroudane920@gmail.com

github.com/merwanroudane