XTPMG with Policy Dummy

[Kishore Dhavala]

Dear Stata-users,

I am writing this message requesting you for providing me some information regarding the Stata XTPMG command. I have read the posts related to xtpmg in the statalist but did not get any answer. So I am posting my query here.

I am estimating a panel ARDL error correction model, which is in the form of

xtpmg d.lnlowC d.lnGDPPPC d.lnTO d.lnEI if Group=="H", lr(l.lnlowC lnGDPPC lnTP lnEI) ec(ec) pmg

in the above form, I was able to get long run and short run elasticities.

Now I want to add a dummy independent variable (Dummy=1 if a certain policy is implemented D=0 if not implemented), I just want to check how this policy dummy influences the dependent variable. But not sure where to include in the above ARDL specification.

Could you please suggest me where to include the dummy.

Thank you for your time.

Best,
Kishore

[Kishore Dhavala]

I was unable to edit my previous message, so I am posting here the edited version.

Dear Statalist-users,

This tread is regarding to the Stata XTPMG command. I have read the previous posts related to xtpmg in the statalist but did not find appropriate answer. So I am posting my query here.

I am using xtmpg in Stata 11.2,

xtmpg is a user-written program for estimating the panel Auto Regressive Distributive Lag (ARDL) error correction models, the program was written by Blackburne and Frank, The Stata Journal (2007) 7, Number 2, pp. 197–208.

Using the xtmpg command, I am estimating a panel ARDL error correction model, which is in the form of

xtpmg d.lnlowC d.lnGDPPC d.lnTO d.lnEI if Group=="H", lr(l.lnlowC lnGDPPC lnTP lnEI) ec(ec) replace pmg

My panel variable has 113 countries and time variable has 33 years (strongly balanced).

in the above form, I was able to get long run and short run elasticities.

Now I want to add a dummy variable to the above panel ARDL (Dummy=1 if a certain policy is implemented D=0 if not implemented), I just want to check how this policy dummy influences the dependent variable. But not sure where to include in the above ARDL specification.

Could you please suggest me where to include the dummy.

Thank you for your time.

Best,
Kishore

[Tshegang Chipeya]

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