Estimating heterogeneous coefficient models using common correlated effects in a dynamic panel
xtdcce2 estimates a heterogeneous coefficient model in a dynamic panel with dependence between cross sectional units. It supports the Common Correlated Effects Estimator (CCE) by Pesaran (2006), the Dynamic Common Correlated Effects Estimator (DCCE), proposed by Chudik and Pesaran (2015), the Mean Group Estimator (MG, Pesaran and Smith, 1995) and the Pooled Mean Group Estimator (PMG, Shin et. al 1999). Since version 1.33 the Cross-Sectionally Augmented Distributed Lag (CS-DL, Chudik. et al 2016) amd the Cross-Sectionally Augmented Distributed Lag (CS-ARDL, Chudik. et al 2016) estimators are includes as well. A paper explaining the commands will be available soon.
Additionally xtdcce2 tests for cross sectional dependence (xtcd2 required) and supports instrumental variable estimations (ivreg2 required).
If you used the option pooled() with version <1.3, please update to version 1.31 and re-run you estimations. To check which version in installed, type
Current Version: 1.33
How to install:
ssc install xtdcce2
net install xtdcce2 , from(http://www.ditzen.net/Stata/)
xtdcce2, version 1.33 requires xtset2, which is available here:
Example Dataset and do file:
To use xtdcce2 copy the xtdcce2 and xtcd2 the *.ado and *.sthlp files into the personal folder in the ado directory (Example: C:\ado\personal). Alternatively the files can be saved in another folder (let's say "C:\Users\MyUserName\StataAdo"). Then the path needs to be added to Stata by typing "adopath + C:\Users\MyUserName\StataAdo".
xtdcce2 was presented at the Stata User Group Meeting in London in 2016 and including the estimation of long run coefficients at the Stata User Group Meeting in Zuerich in 2018. Slides are available here (2016) and here (2018).
The estimation package is described in detail in: "xtdcce2: Estimating Dynamic Common Correlated Effects in Stata", The Stata Journal, forthcoming.
An early version is available here: download. xtdcce2 was formerly called xtdcce.