pmg|mg|fe selects the desired estimation procedure. pmg estimates the
pooled mean-group model where the long-run effects, beta, are
constrained to be equal across all panels. The short-run coefficients,
including phi, are allowed to differ across panels. mg estimates the
mean-group model where the coefficients of the model are calculated
from the unweighted average of the unconstrained, fully heterogeneous
model. fe estimates the dynamic fixed effects model where all
parameters, except intercepts, are constrained to be equal across
panels. pmg is the default.