xtpb:: The pooled Bewley estimator of long-run relationships in dynamic heterogeneous panels

• Asnani, Privanka ^[1] ; Chudik, Alexander ^[1] ; Strackman, Braden ^[1]
  1. [1] Federal Reserve Bank of Dallas, Dallas, TX,
• Localización: The Stata journal, ISSN 1536-867X, Vol. 25, Nº. 1, 2025, págs. 136-150
• Idioma: inglés
• DOI: 10.1177/1536867X251322965
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• Resumen

  • n this article, we introduce a new command, xtpb, that implements the Chudik, Pesaran, and Smith (Forthcoming, Econometrics and Statistics, https://doi.org/10.1016/j.ecosta.2023.11.001) pooled Bewley (pb) estimator of longrun relationships in dynamic heterogeneous panel-data models. The pb estimator is based on the Bewley (1979, Economics Letters 3: 357–361) transform of the autoregressive-distributed lag model, and it is applicable under a similar setting to the widely used pooled mean group estimator of Pesaran, Shin, and Smith (1999, Journal of the American Statistical Association 94: 621–634). Two bias-correctior 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 (Forthcoming).