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XTBHST: Stata module to implement bootstrap test for slope homogeneity in large panels

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  • Merwan Roudane

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Abstract

xtbhst performs a block bootstrap test of slope homogeneity in panels with a large number observations of the cross-sectional (N) and time (T) dimension. The null hypothesis of the test is of homogenous slopes. This implies all slope coefficients are identical across cross-sectional units. The test is a block-bootstrapped version of Swamy's test for slope homogeneity, evaluated using the resampling scheme proposed by Blomquist and Westerlund (2015). This procedure is asymptotically valid in the presence of serial correlation and cross-sectional dependence of unknown form. Unlike standard homogeneity tests which impose asymptotic critical values, the bootstrap corrects for finite-sample size distortions and accommodates complicated unobserved dependencies simply through block resampling.

Suggested Citation

  • Merwan Roudane, 2026. "XTBHST: Stata module to implement bootstrap test for slope homogeneity in large panels," Statistical Software Components S459619, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459619
    Note: This module should be installed from within Stata by typing "ssc install xtbhst". 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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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbhst.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbhst.sthlp
    File Function: help file
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