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Xtpb: The Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogeneous Panels

Author

Listed:
  • Priyanka Asnani
  • Alexander Chudik
  • Braden Strackman

Abstract

This paper introduces a new Stata command, xtpb, that implements the Chudik, Pesaran and Smith (2023a) Pooled Bewley (PB) estimator of long-run relationships in dynamic heterogeneous panel-data models. The PB estimator is based on the Bewley (1979) transform of the autoregressive-distributed lag model and it is applicable under a similar setting as the widely used pooled mean group (PMG) estimator of Pesaran, Shin and Smith (1999). 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 (2023a).

Suggested Citation

  • Priyanka Asnani & Alexander Chudik & Braden Strackman, 2024. "Xtpb: The Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogeneous Panels," Globalization Institute Working Papers 429, Federal Reserve Bank of Dallas.
    • Handle: RePEc:fip:feddgw:98722
    DOI: 10.24149/gwp429
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    More about this item

    Keywords

    Pooled Bewley (PB) estimator; pooled mean group estimator (PMG); Heterogeneous dynamic panels; Autoregressive-Distributed Lag model (ARDL); cross-sectional dependence; bias-correction; bootstrap; xtpb;
    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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