help xtpmg                                        dialog:  xtpmg               


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


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.


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.


+-------+ ----+ 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.


. 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