Estimating dynamic common-correlated effects in Stata
Jan Ditzen
Centre for Energy Economics Research and Policy
and
Spatial Economics and Econometrics Centre
Heriot-Watt University
Edinburgh, UK
[email protected]
|
Abstract. In this article, I introduce a new command, xtdcce2, that fits a dynamic
common-correlated effects model with heterogeneous coefficients in a panel with
a large number of observations over cross-sectional units and time periods.
The estimation procedure mainly follows Chudik and Pesaran (2015b, Journal
of Econometrics 188: 393–420) but additionally supports the common
correlated effects estimator (Pesaran, 2006, Econometrica 74:
967–1012), the mean group estimator (Pesaran and Smith, 1995, Journal
of Econometrics 68: 79–113), and the pooled mean group estimator
(Pesaran, Shin, and Smith, 1999, Journal of the American Statistical
Association, 94: 621–634). xtdcce2 allows heterogeneous or
homogeneous coefficients and supports instrumental-variable regressions and
unbalanced panels. The cross-sectional dependence test is automatically
calculated and presented in the estimation output. Small-sample time-series
bias can be corrected by "half-panel" jackknife correction or recursive mean
adjustment. I carry out a simulation to prove the estimator's consistency.
View all articles by this author:
Jan Ditzen
View all articles with these keywords:
xtdcce2, xtcd2, parameter heterogeneity, dynamic panels, cross-section dependence, common correlated effects, pooled mean group estimator, mean group estimator, instrumental variables, ivreg2
Download citation: BibTeX RIS
Download citation and abstract: BibTeX RIS
|
