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xtdcce2: Estimating dynamic common correlated effects in Stata

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  • Jan Ditzen

    (Spatial Economics and Econometrics Centre, Heriot-Watt University)

Abstract

This presentation introduces a new Stata command, xtdcce, to estimate a dynamic common correlated effects model with heterogeneous coefficients. The estimation procedure mainly follows Chudik and Pesaran (2015); in addition, the common correlated effects estimator (Pesaran 2006) as well as the mean group (Pesaran and Smith 1995) and the pooled mean group estimator (Shin, Pearson, and Smith 1999) are supported. Coefficients are allowed to be heterogeneous or homogeneous. In addition, instrumental variable regressions and unbalanced panels are supported. The cross-sectional dependence test (CD test) is automatically calculated and presented in the estimation output. Examples for empirical applications of all estimation methods mentioned above are given.

Suggested Citation

  • Jan Ditzen, 2016. "xtdcce2: Estimating dynamic common correlated effects in Stata," United Kingdom Stata Users' Group Meetings 2016 08, Stata Users Group.
    • Handle: RePEc:boc:usug16:08
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    10. Aistov, Andrey & Nikolaeva, Tatiana, 2019. "Tourism-led growth hypothesis," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 5-24.
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    13. Damane, Moeti & Ho, Sin-Yu, 2024. "Effects of Financial Inclusion of Small and medium Sized Enterprises on Financial Stability: Evidence from SSA countries," MPRA Paper 121093, University Library of Munich, Germany.
    14. Kyle McNabb, 2016. "Tax structures and economic growth: New evidence from the Government Revenue Dataset," WIDER Working Paper Series 148, World Institute for Development Economic Research (UNU-WIDER).
    15. Diallo, Ibrahima Amadou, 2017. "The role of human assets in economic growth: theory and empirics," MPRA Paper 80402, University Library of Munich, Germany.
    16. Kyle McNabb, 2016. "Tax structures and economic growth: New evidence from the Government Revenue Dataset," WIDER Working Paper Series wp-2016-148, World Institute for Development Economic Research (UNU-WIDER).
    17. Kouakou , Paul-Alfred, 2023. "Impact of local processing of agricultural raw materials on job creation in the West African Monetary and Economic Union," Agricultural and Resource Economics: International Scientific E-Journal, Agricultural and Resource Economics: International Scientific E-Journal, vol. 9(3), September.
    18. Gildas Dohba Dinga & Dobdinga Cletus Fonchamnyo & Giyoh Gideon Nginyu & Chuo Joshua Njuh, 2020. "Short and Long Run Dynamic Common Correlation Effects of External Capital Inflow on Economic Growth in SSA Countries," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 8(4), pages 218-226, December.
    19. Elio Shijaku & Martin Larraza-Kintana & Ainhoa Urtasun-Alonso, 2020. "Network centrality and organizational aspirations: A behavioral interaction in the context of international strategic alliances," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 51(5), pages 813-828, July.
    20. Vasudeva N. R. Murthy & Natalya Ketenci, 2020. "Capital mobility in Latin American and Caribbean countries: new evidence from dynamic common correlated effects panel data modeling," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.
    21. McWalter, Thomas A. & Ritchken, Peter H., 2022. "Black economic empowerment regulation and risk incentives," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    22. Damane, Moeti & Ho, Sin-Yu, 2024. "Effects of financial inclusion on financial stability: evidence from ssa countries," MPRA Paper 120238, University Library of Munich, Germany.

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