how to get the individual coefficients of cross-sections in a panel data regression

[Radheshyam Verma]

I wanted to know if it is possible to get the individual coefficients of cross-sections in a panel data regression eg. in a cross-country panel data?

[Andrew Musau]

In a standard panel regression, you typically estimate a common slope across all panels (countries, in your case), while allowing intercepts to vary. If you wanted panel-specific slopes, you could interact the regressor of interest and the panel dummies (country indicators). This amounts to estimating a fully heterogeneous slope model, where each country has its own coefficient for that variable. However, you end up with a large number of parameters if you have many countries and estimates will likely be noisy if your \(T\) dimension is small. There are alternative approaches, like mean group estimators (Pesaran–Smith), which are designed for heterogeneous slopes in panel data. See

ssc describe xtpmg

[Radheshyam Verma]

Thank you, Mr. Musau