Dear All, I use (ssc install) xtpmg to estimate the following model.
Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input str14 cn str3 code int year float(pi y c id)
"Australia"   "AUS" 1960       . 9.126777 8.817785 1
"Australia"   "AUS" 1961 .005512 9.117796 8.821845 1
"Australia"   "AUS" 1962 .010618 9.165926 8.861888 1
"Australia"   "AUS" 1963 .016399 9.242287 8.904936 1
"Australia"   "AUS" 1964 .033551 9.285301 8.930625 1
"Australia"   "AUS" 1965 .031854 9.275299 8.940616 1
"Australia"   "AUS" 1966 .029922 9.324277 8.970143 1
"Australia"   "AUS" 1967 .035304 9.335888  9.00631 1
"Australia"   "AUS" 1968 .034349 9.406322 9.038895 1
"Australia"   "AUS" 1969 .040493 9.444981 9.076191 1
"Australia"   "AUS" 1970 .060083 9.461569 9.096202 1
"Australia"   "AUS" 1971 .065964  9.48824 9.117048 1
"Australia"   "AUS" 1972 .060993 9.540829 9.153357 1
"Australia"   "AUS" 1973 .114068 9.597275 9.191398 1
"Australia"   "AUS" 1974 .162968 9.595092 9.210077 1
"Australia"   "AUS" 1975 .146564 9.597939 9.230286 1
"Australia"   "AUS" 1976  .10849 9.610383 9.244958 1
"Australia"   "AUS" 1977 .089166 9.586189 9.251227 1
"Australia"   "AUS" 1978 .085865 9.618374 9.274227 1
"Australia"   "AUS" 1979 .095046 9.635564 9.289895 1
"Australia"   "AUS" 1980   .0932 9.660865 9.317696 1
"Australia"   "AUS" 1981 .090036 9.668748 9.342647 1
"Australia"   "AUS" 1982 .103054 9.618184 9.337695 1
"Australia"   "AUS" 1983  .07155 9.667136 9.349161 1
"Australia"   "AUS" 1984 .058712 9.697061 9.371945 1
"Australia"   "AUS" 1985  .07722 9.704076 9.395497 1
"Australia"   "AUS" 1986 .082827 9.698622  9.38767 1
"Australia"   "AUS" 1987 .068714 9.742806 9.412477 1
"Australia"   "AUS" 1988 .065982 9.789676 9.441179 1
"Australia"   "AUS" 1989 .062069  9.78746 9.469853 1
"Australia"   "AUS" 1990 .049224 9.745213 9.465416 1
"Australia"   "AUS" 1991 .023524 9.734775 9.476471 1
"Australia"   "AUS" 1992 .016738 9.750171 9.489652 1
"Australia"   "AUS" 1993 .016277 9.779519 9.507699 1
"Austria"     "AUT" 1960       . 11.23057 10.83956 2
"Austria"     "AUT" 1961 .038935 11.28918 10.88387 2
"Austria"     "AUT" 1962 .042951 11.30787 10.91059 2
"Austria"     "AUT" 1963 .026052 11.33956 10.95798 2
"Austria"     "AUT" 1964 .036576 11.39296 10.98502 2
"Austria"     "AUT" 1965 .043585 11.42352 11.02673 2
"Austria"     "AUT" 1966 .022746  11.4812 11.06216 2
"Austria"     "AUT" 1967 .038128 11.49353 11.08902 2
"Austria"     "AUT" 1968  .02443  11.5351 11.12317 2
"Austria"     "AUT" 1969 .032794 11.59165 11.14846 2
"Austria"     "AUT" 1970 .038183 11.66228 11.18577 2
"Austria"     "AUT" 1971 .048633 11.71937 11.24638 2
"Austria"     "AUT" 1972 .062847 11.78281 11.29955 2
"Austria"     "AUT" 1973 .063725 11.83885 11.34633 2
"Austria"     "AUT" 1974 .095457 11.87076  11.3741 2
"Austria"     "AUT" 1975 .075892  11.8527 11.40869 2
"Austria"     "AUT" 1976 .063366 11.89498 11.45485 2
"Austria"     "AUT" 1977 .054728 11.93163 11.50765 2
"Austria"     "AUT" 1978 .040782 11.94743 11.49356 2
"Austria"     "AUT" 1979 .044355 11.99659 11.53841 2
"Austria"     "AUT" 1980 .061759  12.0092 11.55339 2
"Austria"     "AUT" 1981 .073392 11.98788 11.55459 2
"Austria"     "AUT" 1982 .058669 11.99772 11.56568 2
"Austria"     "AUT" 1983 .033303 12.02444 11.61679 2
"Austria"     "AUT" 1984 .054477 12.03306  11.6159 2
"Austria"     "AUT" 1985 .032592  12.0552  11.6388 2
"Austria"     "AUT" 1986 .019039  12.0855 11.65526 2
"Austria"     "AUT" 1987 .009723 12.11462 11.68486 2
"Austria"     "AUT" 1988 .014354 12.15201 11.71764 2
"Austria"     "AUT" 1989 .026292 12.18964   11.748 2
"Austria"     "AUT" 1990 .030695 12.22534 11.77114 2
"Austria"     "AUT" 1991 .033915 12.24126  11.7866 2
"Austria"     "AUT" 1992 .038296 12.24679  11.7981 2
"Austria"     "AUT" 1993 .034073 12.22574 11.78618 2
"Belgium"     "BEL" 1960       . 12.25262 11.97938 3
"Belgium"     "BEL" 1961 .026331 12.28599 11.99238 3
"Belgium"     "BEL" 1962 .010655 12.33874 12.02688 3
"Belgium"     "BEL" 1963 .036261 12.36487 12.06295 3
"Belgium"     "BEL" 1964 .040851 12.42882  12.0793 3
"Belgium"     "BEL" 1965 .045149 12.46139 12.11195 3
"Belgium"     "BEL" 1966 .040604 12.48451  12.1314 3
"Belgium"     "BEL" 1967 .025073 12.52161 12.15387 3
"Belgium"     "BEL" 1968  .02847 12.55721 12.20188 3
"Belgium"     "BEL" 1969 .028044 12.62701 12.25122 3
"Belgium"     "BEL" 1970 .024651 12.70672 12.29345 3
"Belgium"     "BEL" 1971 .051846 12.74088 12.33748 3
"Belgium"     "BEL" 1972 .052345 12.79966 12.39164 3
"Belgium"     "BEL" 1973 .059157 12.86504 12.46322 3
"Belgium"     "BEL" 1974 .120161 12.89866 12.48594 3
"Belgium"     "BEL" 1975 .115999 12.87614 12.48952 3
"Belgium"     "BEL" 1976 .075352 12.93466 12.53503 3
"Belgium"     "BEL" 1977 .069176  12.9326 12.55756 3
"Belgium"     "BEL" 1978 .041536  12.9606 12.57946 3
"Belgium"     "BEL" 1979 .038004 12.98042  12.6259 3
"Belgium"     "BEL" 1980 .061659 12.99318 12.64449 3
"Belgium"     "BEL" 1981 .083256 12.93911 12.63251 3
"Belgium"     "BEL" 1982 .075041 12.94013 12.64548 3
"Belgium"     "BEL" 1983 .068942 12.92719 12.62945 3
"Belgium"     "BEL" 1984 .055551 12.94947 12.64147 3
"Belgium"     "BEL" 1985 .057751 12.95861 12.66028 3
"Belgium"     "BEL" 1986 .006867 13.00825 12.68271 3
"Belgium"     "BEL" 1987 .018904  13.0316 12.71176 3
"Belgium"     "BEL" 1988 .015478 13.07057  12.7342 3
"Belgium"     "BEL" 1989 .035452 13.12134  12.7695 3
"Belgium"     "BEL" 1990  .03588 13.13903 12.79296 3
"Belgium"     "BEL" 1991 .024687 13.17091 12.82042 3
"Belgium"     "BEL" 1992 .020526 13.19306 12.84251 3
"Canada"      "CAN" 1960       . 8.899075 8.631179 4
"Canada"      "CAN" 1961  .00529 8.913204 8.622852 4
"Canada"      "CAN" 1962 .013456 8.971992 8.655091 4
"Canada"      "CAN" 1963 .020884 9.000994 8.680049 4
"Canada"      "CAN" 1964  .01532 9.058849 8.716622 4
"Canada"      "CAN" 1965 .020621 9.115803 8.757779 4
"Canada"      "CAN" 1966 .037562 9.172612 8.790492 4
"Canada"      "CAN" 1967 .039474 9.187241  8.81161 4
"Canada"      "CAN" 1968  .04357 9.220095 8.838357 4
"Canada"      "CAN" 1969  .04006  9.26968 8.875424 4
"Canada"      "CAN" 1970  .03471 9.280592 8.881181 4
"Canada"      "CAN" 1971 .023561 9.332674 8.926323 4
"Canada"      "CAN" 1972  .04111 9.403598 8.987632 4
"Canada"      "CAN" 1973 .062225 9.492468 9.048448 4
"Canada"      "CAN" 1974 .099482 9.558039 9.090315 4
"Canada"      "CAN" 1975 .099736 9.555314 9.121487 4
"Canada"      "CAN" 1976 .070503 9.614869 9.171438 4
"Canada"      "CAN" 1977 .072335 9.614909 9.189951 4
"Canada"      "CAN" 1978 .072841 9.634393 9.212977 4
"Canada"      "CAN" 1979 .082693 9.676215 9.231655 4
"Canada"      "CAN" 1980  .09573 9.680829 9.241051 4
"Canada"      "CAN" 1981  .10594 9.693285 9.251542 4
"Canada"      "CAN" 1982 .097657 9.628247 9.215019 4
"Canada"      "CAN" 1983 .058135 9.642993  9.24092 4
"Canada"      "CAN" 1984 .039114 9.692215 9.278929 4
"Canada"      "CAN" 1985 .037062 9.719261  9.32174 4
"Canada"      "CAN" 1986 .036995 9.723492 9.356698 4
"Canada"      "CAN" 1987  .03861 9.764948  9.38862 4
"Canada"      "CAN" 1988  .03793 9.821083 9.420688 4
"Canada"      "CAN" 1989  .04719 9.827632 9.440114 4
"Canada"      "CAN" 1990 .041061 9.785636 9.435515 4
"Canada"      "CAN" 1991 .045899 9.729815 9.405815 4
"Canada"      "CAN" 1992 .012979 9.679651 9.367965 4
"Canada"      "CAN" 1993 .017363 9.681681 9.366916 4
"Switzerland" "CHE" 1960       . 9.965399 9.591429 5
"Switzerland" "CHE" 1961 .027754 10.04744 9.656388 5
"Switzerland" "CHE" 1962 .047931 10.07565 9.692879 5
"Switzerland" "CHE" 1963 .035305 10.11212 9.718802 5
"Switzerland" "CHE" 1964 .041613 10.15347 9.748298 5
"Switzerland" "CHE" 1965 .039101 10.17203 9.770731 5
"Switzerland" "CHE" 1966 .045801 10.18876 9.789802 5
"Switzerland" "CHE" 1967 .042941 10.20935 9.806178 5
"Switzerland" "CHE" 1968 .025469 10.24062 9.831609 5
"Switzerland" "CHE" 1969 .027288 10.28156 9.873432 5
"Switzerland" "CHE" 1970 .038991 10.32932 9.904316 5
"Switzerland" "CHE" 1971  .06716 10.37654  9.93925 5
"Switzerland" "CHE" 1972 .073388 10.41439 9.983094 5
"Switzerland" "CHE" 1973 .086496 10.43622  10.0041 5
"Switzerland" "CHE" 1974 .095292 10.42758 9.996275 5
"Switzerland" "CHE" 1975 .064161 10.36775 9.975313 5
"Switzerland" "CHE" 1976 .022172 10.38155 9.997073 5
"Switzerland" "CHE" 1977 .011412 10.39939 10.02961 5
"Switzerland" "CHE" 1978 .006066 10.42801 10.04888 5
"Switzerland" "CHE" 1979  .04291 10.43364  10.0587 5
"Switzerland" "CHE" 1980 .044178 10.45403 10.07929 5
"Switzerland" "CHE" 1981 .063516 10.47382 10.07745 5
"Switzerland" "CHE" 1982 .054087 10.47155 10.07132 5
"Switzerland" "CHE" 1983  .02582 10.48852 10.08568 5
"Switzerland" "CHE" 1984 .032523 10.50972  10.0976 5
"Switzerland" "CHE" 1985 .036411 10.53396 10.10766 5
"Switzerland" "CHE" 1986 .002854 10.58168 10.12936 5
"Switzerland" "CHE" 1987 .015313 10.60068 10.14294 5
"Switzerland" "CHE" 1988 .022848 10.62891 10.15625 5
"Switzerland" "CHE" 1989 .034838 10.67106 10.18205 5
"Switzerland" "CHE" 1990 .052054 10.67919 10.18732 5
"Switzerland" "CHE" 1991 .055286 10.66348 10.18889 5
"Switzerland" "CHE" 1992 .040839 10.62828 10.17621 5
"Switzerland" "CHE" 1993 .029346 10.60321 10.15904 5
end

xtset id year

// PMG
xtpmg D.c D.y D.pi, lr(L.c y pi) ec(ec) replace pmg 
est store pmg

// MG
xtpmg D.c D.y D.pi, lr(L.c y pi) ec(ec) replace mg
est store mg
In both Stata 13/14, it works just fine.
Code:
. // PMG
. xtpmg D.c D.y D.pi, lr(L.c y pi) ec(ec) replace pmg 

Iteration 0:   log likelihood =  533.08568  
Iteration 1:   log likelihood =  533.97325  
Iteration 2:   log likelihood =  534.01755  
Iteration 3:   log likelihood =  534.01765  
Iteration 4:   log likelihood =  534.01765  

Pooled Mean Group Regression
(Estimate results saved as pmg)

Panel Variable (i): id                          Number of obs      =       159
Time Variable (t): year                         Number of groups   =         5
                                                Obs per group: min =        31
                                                               avg =      31.8
                                                               max =        32

                                                Log Likelihood     =  534.0176
------------------------------------------------------------------------------
         D.c |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
ec           |
           y |   .9558091    .013805    69.24   0.000     .9287518    .9828664
          pi |  -.7580091   .1499926    -5.05   0.000    -1.051989   -.4640289
-------------+----------------------------------------------------------------
SR           |
          ec |   -.196124   .0649038    -3.02   0.003    -.3233331   -.0689148
             |
           y |
         D1. |   .2564224   .0904152     2.84   0.005      .079212    .4336329
             |
          pi |
         D1. |  -.0375937   .0591728    -0.64   0.525    -.1535703    .0783829
             |
       _cons |   .0399847   .0124331     3.22   0.001     .0156163    .0643531
------------------------------------------------------------------------------

. est store pmg

. 
. // MG
. xtpmg D.c D.y D.pi, lr(L.c y pi) ec(ec) replace mg

------------------------------------------------------------------------------
Mean Group Estimation: Error Correction Form
(Estimate results saved as mg)
------------------------------------------------------------------------------
------------------------------------------------------------------------------
         D.c |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
ec           |
           y |   .9098558   .0751301    12.11   0.000     .7626036    1.057108
          pi |  -.7133219   .1565366    -4.56   0.000    -1.020128   -.4065159
-------------+----------------------------------------------------------------
SR           |
          ec |  -.2394112   .0489541    -4.89   0.000    -.3353595    -.143463
             |
           y |
         D1. |   .2037221   .0623671     3.27   0.001     .0814848    .3259595
             |
          pi |
         D1. |  -.0211505   .0791552    -0.27   0.789    -.1762919    .1339909
             |
       _cons |   .0711615   .0829173     0.86   0.391    -.0913534    .2336764
------------------------------------------------------------------------------

. est store mg
However, in both Stata 15/16, I encountered an error message as
Code:
. // PMG
. xtpmg D.c D.y D.pi, lr(L.c y pi) ec(ec) replace pmg 

Iteration 0:   log likelihood =  533.08568  
Iteration 1:   log likelihood =  533.97325  
Iteration 2:   log likelihood =  534.01755  
Iteration 3:   log likelihood =  534.01765  
Iteration 4:   log likelihood =  534.01765  

Pooled Mean Group Regression
(Estimate results saved as pmg)

Panel Variable (i): id                          Number of obs      =       159
Time Variable (t): year                         Number of groups   =         5
                                                Obs per group: min =        31
                                                               avg =      31.8
                                                               max =        32

                                                Log Likelihood     =  534.0176
------------------------------------------------------------------------------
         D.c |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
ec           |
           y |   .9558091    .013805    69.24   0.000     .9287518    .9828664
          pi |  -.7580091   .1499926    -5.05   0.000    -1.051989   -.4640289
-------------+----------------------------------------------------------------
SR           |
          ec |   -.196124   .0649038    -3.02   0.003    -.3233331   -.0689148
             |
           y |
         D1. |   .2564224   .0904152     2.84   0.005      .079212    .4336329
             |
          pi |
         D1. |  -.0375937   .0591728    -0.64   0.525    -.1535703    .0783829
             |
       _cons |   .0399847   .0124331     3.22   0.001     .0156163    .0643531
------------------------------------------------------------------------------

. est store pmg

. 
. // MG
. xtpmg D.c D.y D.pi, lr(L.c y pi) ec(ec) replace mg
invalid new variable name;
variable name ec is in the list of predictors
r(110);

end of do-file

r(110);
That is, the `mg' option (pmg option is OK) does not work. Any possibilities? Thanks. (In fact, I sent an email to the author of -xtpmg- but didn't get any response.