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xthst: Testing for slope homogeneity in Stata

Author

Listed:
  • Jan Ditzen

    (Heriot-Watt University)

  • Tore Bersvendsen

    (Kristiansand Kommune, Norway)

Abstract

This talk 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 derived by Pesaran and Yamagata (2008). Under the null, slope coefficients are heterogeneous across cross-sectional units. xthst also includes two extensions. The first is a heteroscedasticity auto-correlation robust test on the lines of Blomquist and Westerlund (2013). The second extension is a cross-sectional dependence robust version. The talk will cover the econometric theory of the tests, explain xthst and its options and give empirical examples. Monte Carlo evidence will be shown to prove that the test behaves as expected.

Suggested Citation

  • Jan Ditzen & Tore Bersvendsen, 2020. "xthst: Testing for slope homogeneity in Stata," London Stata Conference 2020 07, Stata Users Group.
    • Handle: RePEc:boc:usug20:07
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    More about this item

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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