readme.txt

The MATLAB codes used in "Estimation of Panel Data Models with Parameter 
Heterogeneity when Group Membership Is Unknown", Journal of Econometric
Method, by Chang-Ching Lin and Serena Ng (2011)

If you have any questions, please email us at
lincc@econ.sinica.edu.tw.  or   serena.ng@columbia.edu
This version: July 20, 2011.

* There are two folders: 
<<Simulations>> and <<Applications>>

*********************
* In <<Simulation>> *
*********************
SimulationJEM_C.m runs simulations for static panel model in Tables 1 and 2
Simulation_dyn_C.m runs simulations for dynamic panel model in Table 3

Main Procedures:
pseudo1_mr_C.m: PSEUDO with Gmax=4, G is selected by BIC;
  (note: the subroutine psth_gm.m is used for PSEUDO(G, K))
kmreg_mr_C.m: CK-means with Gmax=4, G is selected by BIC;
kmreg_ints.m: CK-means(G, K);
  
Others:
ols_iKS.m: individual OLS estimation. 
tgpanel0_RM.m: the DGPs of static model.
tgpanel0_ARTr.m: the DGPs of dynamic model with group specific trend. 
pseudo1_mr_PY.m: PSEUDO with Gmax=4, G is selected by t_g test;
kmreg_mr_PY.m: CK-means with Gmax=4, G is selected by t_g test;

***********************
* In <<Applications>> *
***********************
Example 1: Growth Regressions
Data: pwt62_6003_70.mat 
Main Code: 
ExFT10_A1_KP.m: for Model A 
ExFT10_A1_KP.m: for Model B 
psth_gm.m: PSEUDO(G, K)
kmreg_int.m: CK-means(G, K)

Example 2: Housing Dynamics 
Data: 
sa_qq.mat (Quaterly, State House Permits 1969:Q1--2007:Q4 from Stock and Watson, 2008), fedrate.mat (Monthly, Fed Rate 1969:1 -- 2011:1)

Regressions (A) and (B) 
Main_H2.m
kmreg_int0.m: CK-means when all parameters are group specific 
psth_gm0.m: PSEUDO when all parameters are group specific

Regressions (C) and (D) 
Main_H1.m
kmreg_intp.m: CK-means when some parameters are group specific and some are
homogenous. 
psth_gmp.m: PSEUDO when some parameters are group specific and some are
homogenous.
