help xtpmg                                        dialog:  xtpmg               
-------------------------------------------------------------------------------

Title

    xtpmg --        Pooled Mean-Group, Mean-Group, and Dynamic Fixed Effects
                      Models


Syntax

        xtpmg depvar [indepvars] [if] [in] [, options]


    options                 Description
    -------------------------------------------------------------------------
    Model
      lr(varlist)           terms to be included in long-run cointegrating
                              vector (Note the difference in sign from
                              Pesaran's specification)
      noconstant            suppresses constant term
      cluster(varname)      adjust standard errors for intragroup correlation
      ec(string)            name of newly created error-correction term
      constraints(string)   constraints to be applied to the model
      replace               overwrite error correction term, if it exists
      full                  display all panel regressions for MG and PMG
                              models
      pmg|mg|fe             specifies the panel data specification. pmg
                              estimates Pesaran's Pooled Mean-Group Model, mg
                              estimates the Mean-Group Model, and fe
                              estimates the Dynamic Fixed Effects Model. pmg
                              is the default.

    Maximum Likelihood Options
      Only valid with pmg.
      technique(algorithm)  specifies the ml maximization technique
      difficult             will use a different stepping algorithm in
                              non-concave regions of the likelihood see
      See ml model_options for a description of available options.

    Reporting
      level(#)              set confidence level; default is level(95)

    -------------------------------------------------------------------------
    You must tsset your data before using xtpmg; see tsset.
    varlists may contain time-series operators; see tsvarlist.



Description

    xtpmg aids in the estimation of large N and large T panel-data models
    where nonstationarity may be a concern. In addition to the traditional
    dynamic fixed effects models, xtpmg allows for the pooled mean group and
    mean group estimators. Consider the model

    d.y_it =  phi*(y_(it-1)+beta*x_(it)) + d.y_(it-1)a_1+... + y_(it-p)a_p +
            d.x_(it)b_1+...+d.x_(it-q)b_q + e_(it)      i={(1,...,N};    
            t={(1,...,T_i)},

where
    phi is the error correction speed of adjustment parameter to be estimated

    beta is a (k X 1) vector of parameters

    a_1,...,a_p are p parameters to be estimated

    x_(it) is a (1 X k) vector of covariates

    b_1,...,b_q are q parameters to be estimated

    and e_(it) is the error term. The assumed distribution of the error term
            depends on the model estimated.


Options

        +-------+
    ----+ Model +------------------------------------------------------------

    constraints(constraints), noconstant; see estimation options. (Note:
        Constraints are applied post-estimation)

    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.

    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.

    cluster(varname); see estimation options.

    replace replaces the error correction variable in memory, if it exists.

    full displays all panel estimation output (for the mean-group and pooled
        mean-group models).

    pmg|mg|fe selects the desired estimation procedure. 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. mg
        estimates the mean-group model where the coefficients of the model
        are calculated from the unweighted average of the unconstrained,
        fully heterogeneous model. fe estimates the dynamic fixed effects
        model where all parameters, except intercepts, are constrained to be
        equal across panels.  pmg is the default.

        +----------------------------+
    ----+ Maximum Likelihood Options +---------------------------------------

    technique(algorithm) specifies ml optimization technique.  See ml
        model_options for more information.  The bhh algorithm is not
        allowed.  This option is only valid with the pmg model.

    level(#); see estimation options.

Examples

    . xtpmg d.c d.y d.pi, lr(l.c y pi) full

    . xtpmg d.c d(1/2).y d.pi if year>1962, ec(ec) lr(l.c y pi) mg replace

    . xtpmg d.c d.y d.pi, lr(l.c y pi) fe

    . cons def 1 [ec]y=.75
    . xtpmg d.c d.y d.pi, lr(l.c y pi) mg const(1) replace ec(ec)

Also see

    Manual:  [XT] xt

    xtdata, xtdes, xtreg, xtsum, xttab; tsset