Estimating Dynamic Panel ARDL (MG, PMG, DFE) Models for STATA - Applied Econometrics with STATA

#stata #statistics #Paneldata #econometrics #ARDL #analysis #estimate #dataanalysis #appliedeco #mg #pmg #dfe #panelardl

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"Estimating Panel ARDL (MG, PMG, DFE) Models in STATA - Applied Econometrics with STATA"

When your panel data has years per cross-section of more than 20. Then the data becomes long panel data thus simple OLS (FE / RE) may not work. This tutorial provides an illustration of how to install xtpmg module and how to estimate three variants of the panel ARDL model which are pooled mean group (PMG), mean group (MG), and dynamic Fixed effect (DFE). And later on, compared the PMG and MG models using the Hausman test.
There are two new videos on Panel ARDL in which the addition of new lags and sorting of the missing output issue has been done.

Learn how to estimate it in EViews

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hope you guys like and enjoy the video.

[farhanfarzam]

Thank you sir for your insightful lessons. I just received this error "command ml is unrecognized" could you pls shed some light on this. thank you in advance.

[JONYHANNAN]

Is it mandatory to have T>N for panel ARDL? I have n=30 and t=27. Out of my 9 regressors 4 are I (1) and 5 are I(0). Can I use panel ARDL model though I have N>T?
Thanks.

[lalaado]

after dropping generated variables, when I ran the mg model, it is showing
invalid new variable name;
variable name __ec is in the list of predictors
. please help

[geoffchen]

Great video! I have a question. The model you are running here is ARDL(1, 0, 0, 0, 0, 0). If I want to run ARDL(3, 2, 0, 0, 0, 2), what should I adjust in the code?

[clarajoanjoachim]

thank you for the informative video. I want to run hausman test to compare pmg, mg and dfe. however, mg and dfe does not give any result as it showed "max number of iterations". any advice on how to solve this?

[sarahahmedchawsheen]

Hi, what is the solution for a negative value of chi square of Hausman test MG & PMG, please?

[marcoca]

I have a question, is the PMG good when the number of observations N is almost the same as the time series T? because I wanted to make a standard panel but I think it's bad when you have a small sample (I only have N= 23), that's why I ask if the PMG is good for these cases.

[DIEGOMARTINEZ-owkj]

Hello! When I run the command "xtpmg" ending in "mg" Stata reports the error "r(498)" which is "Maximum number of iterations exceeded." Could you help me? Testing with "set matsiz" I saw that with "set matsiz 263" I got "matsize too small" and with "set matsiz 264" I got "maximum number of iterations exceeded". Does this mean that my model cannot be estimated with this technique?

[Paulo-..]

Thank you very much, Sir, this video really do a great hope for me. I use the dfe code at my laptop, it do run. However, I don't undstand the lags used in this code, could you tell me how can I input the lags to this code?

[soosuklee]

hi, just wondering, can you clarify that the code you used here "xtpmg d(Y X1 X2 X3 X4 X5), lr(l.Y X1 X2 X3 X4 X5)" is ARDL (1, 0, 0, 0, 0, 0)? Because in some sources it says that this command estimates ARDL(1, 1, 1, 1 1, 1). So I am not sure as to which is correct.

[metindogan]

hello Noman thank you for the video. I have a question. I conduct a model (T>N) and there is cross section dependency and heterogeneous variables in this model. In this regard it is statically possible to use PMG method? thank you in advance

[dennisbaidoo]

Thank you for the educative video. Please, l am using stata 15 to run mg for T=29 and N=20. My challenge is with the mg. When l run it, l get the following feedback:
Invalid new variable name
Variable name _ec is in the list of predictors.
r(110)

How do l resolve this challenge? Thank you

[gynendrabhandari]

why did you not run lag selection command? it was mandatory theoretically, isn't it? please help me selecting lag length in panel ardl

[HibaWorld]

Thank you for this informative video. I have a question. I have T>N (T=168 and N=28). My data is an unbalanced panel with one independent variable non-stationary and stationary after first differencing. I used PMG which turns out to be good after the Hausman test. However, I read that PMG doesn't account for cross-sectional dependencies and the option should be xtdcce2 model as it can test for cross-sectional dependencies using xtcd2. It should work with unbalanced data but it's not working. Wondering do you have any suggestion?

[m.abdurrahmanmehrabi]

Thank you for share this video with us. I have the same problem after xtpmg command the information in the error explanation says ``matsize must be between 10 and 800``I followed with ``set matsiz 800`` command but I did not see any results my penal is strongly balanced. What I should do? could you help me, please?

[bukhalid]

Thank you very much Noaman! actually I am doing all these steps which are worked well. however, when I am trying to do MG it shows variable name ec is in the list of predictors. I use this code "xtpmg d.y d.x1 d.x2 d.x3 d.x4 d.x5, lr(l.y x1 x2 x3 x4 x5) mg " I do also what showing from another video to sort this issue with lag, but still this issue exist. regards

[sabreenkhan]

i am facing a problem with mg . when I use human test my results show mg is missing ... and also when I run mg command I get error 110 i.e new variable name;
variable name __ec is in the list of predictors
r(110); can u plz help me out with this one

[MuhammadBilal-nvdz]

I have a question regarding data i hope you will answer. your price is pure panel data but the FDI, export and CPI is time series i think* because values are same and repeated for each firm. for eg CPI data for firm 1 is from Jan-05 to dec-19 and again same data is repeated for firm 2 and so on. so my question is in the case we check cross sectional dependency for only Price, and what about 2nd generation unit root test all 4 variables will not be stationary in 2nd generation unitroot test even in 2nd difference. so please guide because i have similar kind of data. thanks in advance . waiting for you response

[sjallahabad]

according to your instructions, I am doing the following but continuously getting the r (110) and am unable to get results for mg. Can you suggest what to do and how to correct it?
xtpmg d.gdpgr d.govtexp d.debtgdp d.govtrev, lr(l.gdpgr govtexp debtgdp govtrev) mg
invalid new variable name;
variable name __ec is in the list of predictors
r(110);

[aniksaha]

In pmg, i get too many iteration upto 100, then "hessian has become unstable or asymmetric" appears