Testing for slope heterogeneity in Stata

Tore Bersvendsen () and Jan Ditzen
Additional contact information
Tore Bersvendsen: University of Agder, Kristiansand, Norway

Stata Journal, 2021, vol. 21, issue 1, 51-80

Abstract: In this article, we introduce a new community-contributed command, xthst, to test for slope heterogeneity in panels with many observations over cross-sectional units and time periods. The command implements such a test, the delta test (Pesaran and Yamagata, 2008, Journal of Econometrics 142: 50–93). Under its null, slope coefficients are homogeneous across cross-sectional units. Under the alternative, slope coefficients are heterogeneous in the cross-sectional dimension. xthst also includes two extensions. The first is a heteroskedasticity- and autocorrelation-consistent robust test along the lines of Blomquist and Westerlund (2013, Economics Letters 121: 374–378). The second extension is a cross-sectional-dependence robust version. We discuss all tests and present examples using an economic growth model. A Monte Carlo simulation shows that the size and the power behave as expected.

Keywords: xthst; parameter heterogeneity; fixed effects; pooled OLS; mean-group estimator; cross-section dependence; heterogeneity; common correlated random effects (search for similar items in EconPapers)
Date: 2021
Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj21-1/st0627/
References: Add references at CitEc
Citations: View citations in EconPapers (43)

Downloads: (external link)
http://hdl.handle.net/10.1177/1536867X211000004

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tsj:stataj:v:21:y:2021:i:1:p:51-80

Ordering information: This journal article can be ordered from
http://www.stata-journal.com/subscription.html

DOI: 10.1177/1536867X211000004

Access Statistics for this article

Stata Journal is currently edited by Nicholas J. Cox and Stephen P. Jenkins

More articles in Stata Journal from StataCorp LLC
Bibliographic data for series maintained by Christopher F. Baum () and Lisa Gilmore ().