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XTCCE: Stata module to implement the Common Correlated Effects estimator

Author

Listed:
  • Timothy Neal

    (University of New South Wales)

Programming Language

Stata

Abstract

xtcce is a Stata command that implements the Pesaran (2006) Common Correlated Effects estimator ('CCE') for static panel data models with strictly exogenous regressors, the Chudik and Pesaran (2015) Dynamic CCE estimator ('DCCE') for dynamic panel data models, and also the Neal (2015) 2SLS/GMM extension to account for any endogenous regressors and improve the efficiency of the DCCE estimator.

Suggested Citation

  • Timothy Neal, 2015. "XTCCE: Stata module to implement the Common Correlated Effects estimator," Statistical Software Components S458094, Boston College Department of Economics, revised 18 Oct 2016.
    • Handle: RePEc:boc:bocode:s458094
    Note: This module should be installed from within Stata by typing "ssc install xtcce". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtcce.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtcce.sthlp
    File Function: help file
    Download Restriction: no
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