MEANGROUP - Pooled Mean Group Estimation for Panel Data

[TomDoan]

This is a revised version of the procedure for pooled mean group estimaion for panel data. Compared with earlier versions, this adds several options, and also computes and saves the individual coefficients and covariance matrices. Pooled mean group estimates the coefficient vector of the regression by an equally-weighted average of the individual estimates. @SWAMY (http://www.estima.com/forum/viewtopic.php?f=7&t=1446) is a similar procedure, but does the Swamy random coefficients GLS estimator.

meangroup.src

Procedure file - requires RATS 8.00 or later

(2.95 KiB) Downloaded 90 times

@MeanGroup( options ) depvar start end
# list of regressors

Options

SMPL =SMPL series [none]
TITLE =title for output ["Pooled Mean Group"]
[PRINT]/NOPRINT
DEFINE=equation to define [none]

Variables Defined

%BETA	estimates of mean of coefficient process
%XX	estimates of covariance matrix of mean coefficient
%%IBETAS	individual coefficients
%%IXX	individual covariance matrices. This is a VECTOR[SYMM] with %%IXX(i) as the covariance matrix for individual i