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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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