PANELHETERO: Stata module to examine the degree of heterogeneity across cross-sectional units using panel data

Takahide Yanagi, Ryo Okui, Heejun Lee (), Yue Yu () and Sophie Li ()
Additional contact information
Heejun Lee: Seoul National University
Yue Yu: New York University Shanghai
Sophie Li: Boston University

Statistical Software Components from Boston College Department of Economics

Abstract: panelhetero is a stata module to implement procedures to examine the degree of heterogeneity across cross-sectional units using panel data. It provides functions to implement procedures developed in Okui and Yanagi (2019, Journal of Econometrics) and Okui and Yanagi (forthcoming, Econometrics Journal). It estimates the mean, the autocovariances and/or the autocorrelations for each unit and then computes the cumulative distribution function, the density function and/or various statistical quantities such as mean and variance of estimated quantities. It also provide bias correction methods based on split-panel jackknife as well as statistical inference procedures.

Language: Stata
Requires: Stata version 14, moremata and kdens from SSC (q.v.)
Keywords: panel data; heterogeneity; empirical CDF; kernel density; split-panel bootstrap (search for similar items in EconPapers)
Date: 2020-01-19
Note: This module should be installed from within Stata by typing "ssc install panelhetero". 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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http://fmwww.bc.edu/repec/bocode/p/phecdf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/phecdf.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/phkd.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/phkd.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/phmoment.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/phmoment.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lpanelhetero.mlib Mata object library (application/x-stata)
http://fmwww.bc.edu/repec/bocode/p/panelinit.dta sample data file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/p/panelhetero_illustration.do sample file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/panelhetero_mata_sourcecode.do source code (text/plain)

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