Store per-country ECT coefficient values in dynamic panel ARDL after xtpmg regression

[Gijs Philipsen]

I’m running an unbalanced panel PMG-ARDL model with 117 countries over a 1990-2014 time period using the following user-written command:

 ssc install xtpmg

I want to compare the differences in error correction term (ECT) between my sample countries. For this I use the following command:

 xtpmg d.logFDInet2  d.logC d.GDPgrow1 d.logGDPcap1 d.HYDRO1 d.EC11 d.URBAN1, lr( l.logFDInet2 l.l.logFDInet2 logC GDPgrow1 logGDPcap1 qGDPcap HYDRO1 EC11 URBAN1) ec(ECT) replace pmg full

As I am only interested in the coefficient for the ECT (and related probability) for this particular estimation, I would like to remove all the other short-run coefficients of variables from the generated output and give each individual country a single value for the coefficient of ECT as a result of the xtpmg full estimation described above. Any suggestions on how I could achieve this?

A small sample of data including the main explanatory variables:

* Example generated by -dataex-. For more info, type help dataex
clear
input long Country int Year float(logFDInet2 logC) double GDPgrow
1 1995 10.311283  .6678294   14.02449592825515
1 1996 10.311952  .6780335   9.780179886486025
1 1997 10.310534  .3920421 -10.361104977949154
1 1998 10.310452  .5877866    9.51648444633986
1 1999 10.310325  1.088562   13.60806912490142
1 2000 10.313708 1.1537316   7.630022432319123
1 2001  10.31584 1.1693814   9.314397144529522
1 2002 10.313442  1.321756   4.850475331291861
1 2003  10.31487  1.413423   5.924211541623194
1 2004 10.320265 1.4562867   5.956569595217502
1 2005 10.317664  1.403643   6.067882433482239
1 2006 10.319733  1.398717     6.5729229844884
1 2007 10.330462  1.439835   6.787228940589742
1 2008 10.349685  1.427916   8.328108420816392
1 2009 10.352823 1.4632554   4.053139866163136
1 2010 10.344638  1.521699  4.2230838250323615
1 2011 10.343312  1.617406  2.8216424551400507
1 2012 10.339093  1.521699  1.5848728149821625
1 2013 10.349908 1.5665303  1.1872343525216138
1 2014 10.346567 1.6524974  1.9853880941756756
2 1995 10.324577 2.3776925  11.359538665065443
2 1996 10.314953   2.43449   9.952786591582338
2 1997  10.32258 2.4621496   3.877858099637635
2 1998 10.345412  2.430978   1.364744017268137
2 1999 10.388117  2.537657 -1.0852984511686685
2 2000  10.33782  2.515274 -.26795629799387655
2 2001 10.378027  2.558002   .8221383015632142
2 2002 10.365443 2.6115394   9.943757743241207
2 2003 10.421596  2.890927    -.43183389028259
2 2004 10.379636  2.959587   7.187063696080216
2 2005  10.26452  2.901971  11.030782942605228
2 2006 10.307694 3.0125895   7.582318725665772
2 2007 10.278722  3.156575   9.890049089674505
2 2008 10.363408  3.222071  7.1168479046202435
2 2009 10.379887  3.301377  -2.808599596221484
2 2010 10.195142  3.350956   .6402633250283571
2 2011  10.20271  3.383033  -.2208429877121887
2 2012   10.2589  3.409496   4.706518860037903
2 2013 10.038017  3.491038  1.2919938451986468
2 2014  10.42399 3.5447204  1.2198806209573974
3 1990 10.368353  4.603569   -3.87408535421757
3 1991 10.387116 4.6570034   7.614326414805134
3 1992 10.446712 4.6760945   6.487631818055249
3 1993 10.397973 4.7098002   6.802926901502431
3 1994  10.42332 4.7345304   4.505456801414482
3 1995 10.480366 4.7345304  -4.032158810882208
3 1996 10.517282  4.840716   4.274586464831231
3 1997 10.575418  4.846704  6.8647333618104796
3 1998 10.526498  4.891626  2.6810028160780632
3 1999  10.89651  4.899257  -4.455178459115302
3 2000 10.607038   4.88212 -1.8749363673178436
3 2001  10.37867  4.827273  -5.447048172616874
3 2002 10.378134  4.766183 -11.854781718402265
3 2003 10.362556  4.854839   7.676534047528193
3 2004 10.437778   4.95477    7.88493750549884
3 2005 10.470654  4.985796  7.7294889964049815
3 2006  10.47834  5.045809   6.955533576199642
3 2007 10.504332  5.097608  7.9242108884187985
3 2008  10.58975  5.124856   3.029500651918511
3 2009  10.43462  5.059044  -6.854225055201837
3 2010  10.62941  5.124797   9.300122922489848
3 2011 10.617415  5.177618   4.788683138594351
3 2012  10.72159  5.184757 -2.1452844498181207
3 2013 10.592166  5.214936  1.2656851753707627
3 2014  10.46497  5.192457 -3.5785805098328893
4 1996 10.309538  .9439059   7.507273417474167
4 1997 10.310682 1.2059708   4.479644120616015
4 1998 10.316669 1.2441546    8.14184853415614
4 1999 10.313012 1.1346227  3.9578184349108056
4 2000  10.31242 1.2697605   6.570086564992295
4 2001  10.31128  1.280934  10.279403123683494
4 2002 10.312636  1.137833  13.823463070802845
4 2003  10.31304  1.252763  14.605821592326635
4 2004 10.317157  1.324419   11.13422934082024
4 2005 10.318642 1.4951488  14.643207640703565
4 2006 10.324384 1.5018526  14.078607416354345
4 2007 10.330964 1.6486586  14.695868262480971
4 2008 10.339926 1.7387103   7.819138194451412
4 2009 10.333972 1.5062972  -13.51939081693142
4 2010 10.326443 1.4678744  2.5828973829832904
4 2011 10.330493 1.5973654   4.728317600122153
4 2012 10.325372 1.7439687   6.913698623025155
4 2013 10.320423  1.704748   2.823926169065146
4 2014 10.322414  1.701105  3.0731786781257284
5 1990 10.557316  5.574433  2.0519290490973674
5 1991 10.392438  5.578635 -1.6565726788687982
5 1992 10.461442   5.59233   -.797268925185989
5 1993  10.47199  5.607125  3.0207311444513607
5 1994  10.44751  5.630028   2.885635859889703
5 1995  10.67519  5.666461    2.58704322529762
5 1996 10.450566  5.702415  2.4988846905333872
5 1997 10.547656  5.726098    2.75232027591224
5 1998 10.534696  5.791976  3.5293491713818383
5 1999  10.38006  5.808263  3.7445907524490423
5 2000 10.712037  5.825439   2.680864996047873
5 2001 10.614405  5.843429   .6716928818279513
5 2002  10.70675  5.866157   2.752679500155182
5 2003 10.570938  5.863603  1.8457654959212988
5 2004  11.19695  5.900637  3.0043149136444356
5 2005  8.498389  5.912178  1.8077840236110205
end
label values Country Country
label def Country 1 "        Albania", modify
label def Country 2 "        Angola", modify
label def Country 3 "        Argentina", modify
label def Country 4 "        Armenia", modify
label def Country 5 "        Australia", modify