{smcl} {* 10oct2006}{...} {cmd:help xtpmg} {right:dialog: {bf:{dialog xtpmg} {space 14}}} {hline} {title:Title} {p2colset 5 21 23 2}{...} {p2col :{hi:xtpmg} {hline 2}}Pooled Mean-Group, Mean-Group, and Dynamic Fixed Effects Models{p_end} {p2colreset}{...} {title:Syntax} {p 8 16 2}{cmd:xtpmg} {depvar} [{indepvars}] {ifin} [{cmd:,} {it:options}] {synoptset 22 tabbed}{...} {synopthdr} {synoptline} {syntab:Model} {synopt :{opth lr:(varlist)}}terms to be included in long-run cointegrating vector (Note the difference in sign from Pesaran's specification){p_end} {synopt :{opt nocons:tant}}suppresses constant term{p_end} {synopt :{opth cl:uster(varname)}}adjust standard errors for intragroup correlation{p_end} {synopt :{opth ec:(string)}}name of newly created error-correction term{p_end} {synopt :{opth const:raints(string)}}constraints to be applied to the model{p_end} {synopt :{opt replace}}overwrite error correction term, if it exists{p_end} {synopt :{opt full}}display all panel regressions for MG and PMG models{p_end} {synopt :{opt pmg|mg|fe}}specifies the panel data specification. {opt pmg} estimates Pesaran's Pooled Mean-Group Model, {opt mg} estimates the Mean-Group Model, and {opt fe} estimates the Dynamic Fixed Effects Model. {opt pmg} is the default.{p_end} {syntab:Maximum Likelihood Options} {p 6 6 2} {it:Only valid with} {cmd:pmg}.{p_end} {synopt :{opt tech:nique(algorithm)}}specifies the {cmd:ml} maximization technique{p_end} {synopt :{opt diff:icult}}will use a different stepping algorithm in non-concave regions of the likelihood see{p_end} {p 6 6 2 } See {helpb ml##model_options:ml model_options} for a description of available options. {syntab:Reporting} {synopt :{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end} {synoptline} {p2colreset}{...} {p 4 6 2} You must {cmd:tsset} your data before using {cmd:xtpmg}; see {helpb tsset}.{p_end} {p 4 6 2} {it:varlists} may contain time-series operators; see {help tsvarlist}.{p_end} {title:Description} {pstd} {cmd:xtpmg} aids in the estimation of large {it:N} and large {it:T} panel-data models where nonstationarity may be a concern. In addition to the traditional dynamic fixed effects models, {cmd:xtpmg} allows for the pooled mean group and mean group estimators. Consider the model {p 4 12 2}d.y_it = {bind: phi*(y_(it-1)+beta*x_(it))} + {bind:d.y_(it-1)a_1}+... + {bind:y_(it-p)a_p} + {bind:d.x_(it)b_1}+...+{bind:d.x_(it-q)b_q} + e_(it) {space 4} i={(1,...,N}; {space 3} t={(1,...,T_i)}, where {p 4 12 2}phi is the error correction speed of adjustment parameter to be estimated {p 4 12 2} beta is a (k X 1) vector of parameters{p_end} {p 4 12 2}a_1,...,a_p are p parameters to be estimated{p_end} {p 4 12 2}x_(it) is a (1 X k) vector of covariates{p_end} {p 4 12 2}b_1,...,b_q are q parameters to be estimated{p_end} {p 4 12 2}and e_(it) is the error term. The assumed distribution of the error term depends on the model estimated.{p_end} {title:Options} {dlgtab:Model} {phang} {opt constraints(constraints)}, {opt noconstant}; see {help estimation options}. (Note: Constraints are applied post-estimation) {phang} {opth lr(varlist)} specifies the variables to be included in the cointegrating vector. For identification purposes, the first listed variable will have its coefficient normalized to 1. {phang} {opth ec(string)} specifies the name of a new variable to be created in the dataset to hold the error-correction term. The default is __ec. {phang} {opth cluster(varname)}; see {help estimation options##robust:estimation options}. {phang} {opt replace} replaces the error correction variable in memory, if it exists. {phang} {opt full} displays all panel estimation output (for the mean-group and pooled mean-group models). {phang} {cmd:pmg|mg|fe} selects the desired estimation procedure. {cmd:pmg} estimates the pooled mean-group model where the long-run effects, beta, are constrained to be equal across all panels. The short-run coefficients, including phi, are allowed to differ across panels. {cmd:mg} estimates the mean-group model where the coefficients of the model are calculated from the unweighted average of the unconstrained, fully heterogeneous model. {cmd:fe} estimates the dynamic fixed effects model where all parameters, except intercepts, are constrained to be equal across panels. {cmd:pmg} is the default. {dlgtab:Maximum Likelihood Options} {phang} {opt technique(algorithm)} specifies {cmd:ml} optimization technique. See {helpb ml##model_options:ml model_options} for more information. The {cmd:bhh} algorithm is not allowed. This option is only valid with the {cmd:pmg} model. {phang} {opt level(#)}; see {help estimation options##level():estimation options}. {title:Examples} {phang}{cmd:. xtpmg d.c d.y d.pi, lr(l.c y pi) full} {phang}{cmd:. xtpmg d.c d(1/2).y d.pi if year>1962, ec(ec) lr(l.c y pi) mg replace} {phang}{cmd:. xtpmg d.c d.y d.pi, lr(l.c y pi) fe} {phang}{cmd:. cons def 1 [ec]y=.75}{p_end} {phang}{cmd:. xtpmg d.c d.y d.pi, lr(l.c y pi) mg const(1) replace ec(ec)} {title:Also see} {psee} Manual: {bf:[XT] xt} {psee} {helpb xtdata}, {helpb xtdes}, {helpb xtreg}, {helpb xtsum}, {helpb xttab}; {helpb tsset} {p_end}