My question is very specific. I want to know how to obtain the standard errors of the Mean Group coefficients obtained by the Mean Group estimator developed in "Estimating long-run relationships from dynamic heterogeneous panels"

Of course, I am not talking about how to use statistical software such as Stata or R to employ the Mean Group estimator. I know how to do that. What I don't know is how to calculate, so to speak, by hand or with a calculator the standard errors of each coefficient. I am not familiar with complicated math or statistical notations, so it would be extra helpful if you provide an easy to understand exposition.



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