help xtpmgdialog:xtpmg-------------------------------------------------------------------------------

Title

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

Syntax

xtpmgdepvar[indepvars] [if] [in] [,options]

optionsDescription ------------------------------------------------------------------------- Modellr(varlist)terms to be included in long-run cointegrating vector (Note the difference in sign from Pesaran's specification)noconstantsuppresses constant termcluster(varname)adjust standard errors for intragroup correlationec(string)name of newly created error-correction termconstraints(string)constraints to be applied to the modelreplaceoverwrite error correction term, if it existsfulldisplay all panel regressions for MG and PMG modelspmg|mg|fespecifies the panel data specification.pmgestimates Pesaran's Pooled Mean-Group Model,mgestimates the Mean-Group Model, andfeestimates the Dynamic Fixed Effects Model.pmgis the default.Maximum Likelihood Options

Only valid withpmg.technique(algorithm)specifies themlmaximization techniquedifficultwill use a different stepping algorithm in non-concave regions of the likelihood see Seeml model_optionsfor a description of available options.Reporting

level(#)set confidence level; default islevel(95)------------------------------------------------------------------------- You must

tssetyour data before usingxtpmg; seetsset.varlistsmay contain time-series operators; see tsvarlist.

Description

xtpmgaids in the estimation of largeNand largeTpanel-data models where nonstationarity may be a concern. In addition to the traditional dynamic fixed effects models,xtpmgallows for the pooled mean group and mean group estimators. Consider the modeld.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.

replacereplaces the error correction variable in memory, if it exists.

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

pmg|mg|feselects the desired estimation procedure.pmgestimates 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.mgestimates the mean-group model where the coefficients of the model are calculated from the unweighted average of the unconstrained, fully heterogeneous model.feestimates the dynamic fixed effects model where all parameters, except intercepts, are constrained to be equal across panels.pmgis the default.+----------------------------+ ----+ Maximum Likelihood Options +---------------------------------------

technique(algorithm)specifiesmloptimization technique. Seemlmodel_optionsfor more information. Thebhhalgorithm is not allowed. This option is only valid with thepmgmodel.

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 seeManual:

[XT] xt

xtdata,xtdes,xtreg,xtsum,xttab;tsset