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).
Supplementary Material
Please find the following supplemental material available below.
For Open Access articles published under a Creative Commons License, all supplemental material carries the same license as the article it is associated with.
For non-Open Access articles published, all supplemental material carries a non-exclusive license, and permission requests for re-use of supplemental material or any part of supplemental material shall be sent directly to the copyright owner as specified in the copyright notice associated with the article.
