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xtdcce: Estimating Dynamic Common Correlated Effects in Stata

Author

Listed:
  • Jan Ditzen

    (Heriot-Watt University)

Abstract
This article 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 (2015b), 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 et al., 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. Small sample time series bias can be corrected by jackknife correction or recursive mean adjustment. Examples for empirical applications of all estimation methods mentioned above are given

Suggested Citation

  • Jan Ditzen, 2016. "xtdcce: Estimating Dynamic Common Correlated Effects in Stata," SEEC Discussion Papers 1601, Spatial Economics and Econometrics Centre, Heriot Watt University.
    • Handle: RePEc:hwe:seecdp:1601
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    References listed on IDEAS

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    More about this item

    Keywords

    xtdcce; parameter heterogeneity; dynamic panels; cross section dependence; common correlated effects; pooled mean-group estimator; mean-group estimator; instrumental variables; ivreg2;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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