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