Testing for slope heterogeneity in Stata

• Autores: Tore Bersvendsen, Jan Ditzen
• Localización: The Stata journal, ISSN 1536-867X, Vol. 21, Nº. 1, 2021, págs. 51-80
• Idioma: inglés
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• Resumen

  • In this article, we introduce a new community-contributed command, xthst, to test for slope heterogeneity in panels with many observations over crosssectional units and time periods. The command implements such a test, the delta test (Pesaran and Yamagata, 2008, Journal of Econometrics 142: 50–93). 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- and autocorrelation-consistent robust test along the lines of Blomquist and Westerlund (2013, Economics Letters 121: 374–378). The second extension is a crosssectional-dependence robust version. We discuss all tests and present examples using an economic growth model. A Monte Carlo simulation shows that the size and the power behave as expected.