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

Priyanka Asnani et al.

Stata Journal2025https://doi.org/10.1177/1536867x251322965article
AJG 2
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0.44

What the paper says

In 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).

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https://doi.org/https://doi.org/10.1177/1536867x251322965

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@article{priyanka2025,
  title        = {{xtpb: The pooled Bewley estimator of long-run relationships in dynamic heterogeneous panels}},
  author       = {Priyanka Asnani et al.},
  journal      = {Stata Journal},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1177/1536867x251322965},
}

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Evidence weight

0.44

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.32 × 0.4 = 0.13
M · momentum0.57 × 0.15 = 0.09
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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