xthst: Testing for slope homogeneity in Stata

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.

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