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XTHPOOL: Stata module to perform Hausman poolability test for cointegrated panels (Westerlund and Hess 2011)

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

xthpool implements the poolability test of Westerlund and Hess (2011, Journal of Applied Econometrics). Consider the cointegrated panel y_it = a_i + b_i x_it + e_it, where b_i is a unit-specific slope vector and the error e_it may contain r common factors, so the cross-sectional units are dependent. The test evaluates the null hypothesis of poolability H0: b_i = b for all i against the heterogeneous alternative that at least one unit differs. It compares an individual and a pooled bias-adjusted least-squares estimator of the cointegrating slope, unit by unit, in a Hausman (1978) way, and takes the maximum of the individual Hausman statistics. After a Gumbel normalization the statistic has a well-defined limiting distribution even when N is of the same order as T — a regime where the seemingly-unrelated Wald test of Mark, Ogaki and Sul (2005) is badly distorted.

Suggested Citation

  • Merwan Roudane, 2026. "XTHPOOL: Stata module to perform Hausman poolability test for cointegrated panels (Westerlund and Hess 2011)," Statistical Software Components S459790, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459790
    Note: This module should be installed from within Stata by typing "ssc install xthpool". 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/xthpool.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xthpool.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xthpool_methods.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xthpool_example.do
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