Pooled Mean Group (PMG) Estimation

[montepio]

Dear,

Can you tell how to estimate a Pooled Mean Group (PMG)* model in Eviews? This is a panel data version of the error-correction model.

I was able to run a Panel Cointegration Test, so PMG estimator should be possible as well, but I couldn't find it.

Thank you in advance.

Regards,

José Maria Pimentel

Research Department
MONTEPIO
Lisbon, Portugal

*as in <Pesaran, H., Shin, Y., and Smith, R. (1999), “Pooled Mean Group Estimation of Dynamic
Heterogeneous Panels,” Journal of the American Statistical Association, 94: pp. 621-34.>

[EViews Glenn]

This is not an estimator that we currently support. For a moderate number of cross-sections, you could, in principle code it using the LOGL object since it's a a simple ML estimator. For large numbers of cross-sections, however, the projection onto subspace orthogonal to H_i in Equation 8 is required, and this would be considerably more difficult to address in the LOGL framework.

You would probably have more success with the back-substitution algorithm which uses only derivatives (Equation 9). This approach would only require iterative regression and is certainly doable in an EViews program. But again, we don't have anything built in yet.

I will make a note of your request and put it on the list of feature to consider for future versions.

[carmomi]

The possibility of running pooled mean group estimation in dynamic heterogeneous panels is a feature that I also wish that could be available in a future Eviews update.

[econworker]

Dear Eviews Glenn

I am estimating a PMG model using Eviews 9, I have some variables that are multiplied to Dummy variables equal to zero for some cross sections, so variables are zero for some cross sections and numral values for other cross sections, however when I estimate the model with PMG I get the error of near singular Matrix, I tried the same data using stata, there was not any problem to estimate also I tried to estimate the model with panel OLS using eviews, i didnt receive any singular Matrix error, would you please tell me what could be the problem?
Thank you in advance

[EViews Gareth]

Could you provide the file?

[econworker]

Could you provide the file?

I dont know why...but the file cant be attached, the messege get sent without file!

[EViews Gareth]

Try emailing it to support@eviews.com

[econworker]

Here is the file, the cor_z is dependant variable and the ones that start with mac_ and spec_ are explanatory variables, and y1, y2... are dummies

[Stortroll]

According to Eviews Help one should be able to estimate panel ARDL and PMG from within from the Equation Estimation menu reached fron New objets... or Quick estimation menu. I can't find that in latest version of Eviews 9. How come?

[EViews Glenn]

Just to double check, are you creating the new equation and then looking at the method dropdown?

[naziblee]

Hi all, how many T and N is needed for PMG estimation to return consistent and unbiased estimate?

[Santosh]

Hi,
We can estimate PMG in EViews 9. How to estimate other estimators like Mean Group (MG) estimator and dynamic fixed effects (DFE)
estimator in EViews?

Help would be greatly appreciated.
Thank you.