PooledMeanGroup-package: Pooled Mean Group Estimation of Dynamic Heterogenous Panels

In PooledMeanGroup: Pooled Mean Group Estimation of Dynamic Heterogenous Panels

Description

Calculates the pool mean group (PMG) estimator for dynamic panel data models, as described by Pesaran, Shin and Smith (1999) <doi:10.1080/01621459.1999.10474156>. This estimator enables the intercepts, short-run coefficient and error variances to differ freely across groups, but restricts the long-run coefficients to being equal. Additionally, it allows the numbers of time series observations to differ freely across groups. This software also performs diagnostic tests of error terms, such as autocorrelation, heteroscedasticity and normality. Calculates the pooled mean group (PMG) estimator for dynamic panel data models, as described by Pesaran, Shin and Smith (1999) <doi:10.1080/01621459.1999.10474156>.

Details

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Author(s)

Lech Kujawski, Piotr Zientara Piotr Zientara [aut], Lech Kujawski [aut, cre]

Maintainer: Lech Kujawski <[e-mail]>

References

Pesaran, Shin and Smith (1999) <doi:10.1080/01621459.1999.10474156>

PooledMeanGroup documentation built on May 2, 2019, 12:40 p.m.