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xthst: Testing for slope homogeneity in Stata

Author

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  • Jan Ditzen

    (Centre for Energy Economics Research and Policy, Heriot-Watt University)

Abstract

This article 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 (Pesaran and Yamagata 2008). Under its null, slope coefficients are homogeneous across cross-sectional units. Under the alternative, slope coefficients are heterogeneous in the cross-sectional dimension. xthst also includes two extensions. The first is a heteroskedasticity auto-correlation robust test on the lines of Blomquist and Westerlund (2013). The second extension is a cross-sectional dependence robust version. All tests are discussed and examples using a Solow growth model are presented. A Monte Carlo simulation shows that the size and the power behave as expected.

Suggested Citation

  • Jan Ditzen, 2019. "xthst: Testing for slope homogeneity in Stata," CEERP Working Paper Series 011, Centre for Energy Economics Research and Policy, Heriot-Watt University.
    • Handle: RePEc:hwc:wpaper:011
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    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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