Extraction of individual long-run coefficients xtdcce2 mg

[Valeryia Yersh]

Hi,

I am estimating an ECM model using xtdcce2 command, specifically I am applying (Dynamic) Common Correlated Effects Estimator - Mean Group to my model. Long-run mean group estimates are obtained by averaging individual cross-sectional coefficients. I would like to ask if there is a possibility/command to extract those individual long-run coefficients?

Thank you in advance for your reply!

Best,
Valeryia

[JanDitzen]

Hi Valeryia,
I think this is the wrong forum, the question belongs into the General Forum.

The individual coefficients including the long run coefficients are saved in e(bi). You can access the matrix by typing

matrix list e(bi)

Depending on the options you use, long run coefficients will be marked by a prefix "lr_".

Hope this helps,

Jan

[Valeryia Yersh]

Jan,

Thank you a lot!

Valeryia