xthst: Testing for slope homogeneity in Stata

Jan Ditzen

No 11, CEERP Working Paper Series from Centre for Energy Economics Research and Policy, Heriot-Watt University

Abstract: This article introduces a new community contributed Stata command, xthst, to test for slope homogeneity in panels with a large number of observations over cross sectional units and time periods. The program implements such a test, the delta test (Pesaran and Yamagata 2008). 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 auto-correlation robust test on the lines of Blomquist and Westerlund (2013). The second extension is a cross-sectional dependence robust version. All tests are discussed and examples using a Solow growth model are presented. A Monte Carlo simulation shows that the size and the power behave as expected.

Keywords: parameter heterogeneity; fixed effects; pooled OLS; mean-group estimator; cross section dependence (search for similar items in EconPapers)
JEL-codes: C31 C33 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2019-10
New Economics Papers: this item is included in nep-ore
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://ceerp.hw.ac.uk/RePEc/hwc/wpaper/011.pdf First version, 2019 (application/pdf)

Related works:
Working Paper: xthst: Testing for slope homogeneity in Stata (2020)
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:hwc:wpaper:011

Access Statistics for this paper

More papers in CEERP Working Paper Series from Centre for Energy Economics Research and Policy, Heriot-Watt University
Bibliographic data for series maintained by Antonio Carvalho ( this e-mail address is bad, please contact ).