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XTCAEC: Stata module to estimate heterogeneous error correction models in cross-sectional dependent panel data

Author

Listed:
  • Korbinian Nagel

    (Helmut Schmidt University)

Programming Language

Stata

Abstract

xtcaec augments error correction models with cross-sectional averages of all variables in order to eliminate the differential impacts of unobserved common factors. The routine estimates individual error correction models for each panel member i and, then, calculates mean-group estimates of the error correction and the long-run coefficients. In addition, it investigates whether the empirical model can remove cross-sectional dependence from the model residual. xtcaec is a wrapper and executes existing user written Stata routines, in particular xtmg and xtcd2.

Suggested Citation

  • Korbinian Nagel, 2017. "XTCAEC: Stata module to estimate heterogeneous error correction models in cross-sectional dependent panel data," Statistical Software Components S458306, Boston College Department of Economics, revised 18 May 2017.
    • Handle: RePEc:boc:bocode:s458306
    Note: This module should be installed from within Stata by typing "ssc install xtcaec". 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/xtcaec.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtcaec.sthlp
    File Function: help file
    Download Restriction: no
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