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

Privanka Asnani, Alexander Chudek, Braden Strackman

• 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).