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xtpb: The pooled Bewley estimator of long-run relationships in dynamic heterogeneous panels

Author

Listed:
  • Priyanka Asnani

    (Federal Reserve Bank of Dallas)

  • Alexander Chudik

    (Federal Reserve Bank of Dallas)

  • Braden Strackman

    (Federal Reserve Bank of Dallas)

Abstract

In this article, we introduce a new command, xtpb, that implements the Chudik, Pesaran, and Smith (Forthcoming, Econometrics and Statistics, https: //doi.org/10.1016/j.ecosta.2023.11.001) pooled Bewley (PB) estimator of long- run relationships in dynamic heterogeneous panel-data models. The PB estimator is based on the Bewley (1979, Economics Letters 3: 357–361) transform of the autoregressive-distributed lag model, and it is applicable under a similar setting to the widely used pooled mean group estimator of Pesaran, Shin, and Smith (1999, Journal of the American Statistical Association 94: 621–634). Two bias-correction methods and a bootstrapping algorithm for more accurate small-sample inference robust to arbitrary cross-sectional dependence of errors are also implemented. An empirical illustration reproduces the PB estimates of the consumption function as in Chudik, Pesaran, and Smith (Forthcoming).

Suggested Citation

  • Priyanka Asnani & Alexander Chudik & Braden Strackman, 2025. "xtpb: The pooled Bewley estimator of long-run relationships in dynamic heterogeneous panels," Stata Journal, StataCorp LLC, vol. 25(1), pages 136-150, March.
    • Handle: RePEc:tsj:stataj:v:25:y:2025:i:1:p:136-150
    DOI: 10.1177/1536867X251322965
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj25-1/st0773/
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    Keywords

    tpb; pooled Bewley (PB) estimator; pooled mean group (PMG) estimator; heterogeneous dynamic panels; I(1) regressors; autoregressive-distribut- ed lag model; cross-sectional dependence; bias-correction; bootstrapping;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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