MEANGROUP - Pooled Mean Group Estimation for Panel Data
Posted: Mon May 07, 2012 2:48 pmThis 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( 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
meangroup.src- Procedure file - requires RATS 8.00 or later
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@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 |