XTHST: Stata module to test slope homogeneity in large panels

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

Statistical Software Components from Boston College Department of Economics

Abstract: xthst performs a test of slope homogeneity in panels with a large number observations of the cross-sectional (N) and time (T) dimension. The test is based on Pesaran, Yamagata (2008, Journal of Econometrics) and Blomquist, Westerlund (2013, Economic Letters). The null hypothesis of the test is of homogenous slopes, implying that all slope coefficients are identical across cross-sectional units. xthst can be used for both balanced and unbalanced panels, supports strictly and weakly exogenous regressors, cross-sectional dependence and serial correlated errors.

Language: Stata
Requires: Stata version 14
Keywords: panels; slopes; homogeneity (search for similar items in EconPapers)
Date: 2019-11-14, Revised 2023-02-12
Note: This module should be installed from within Stata by typing "ssc install xthst". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (3)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xthst.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xthst.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xthst_examples.do sample file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xthst_sample_dataset.dta sample data file (application/x-stata)

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