Testing slope homogeneity in large panels

[Zhichao HE]

Hi, Everyone, I am looking for the Stata command used to test slope homogeneity in large panels. This test of slope homogeneity was proposal by M. Hashem Pesaran (2008). This artical come as follows,
(Pesaran M H, Yamagata T. Testing slope homogeneity in large panels[J]. Journal of Econometrics, 2007, 142(1):50-93.)

Also, My panel data included 190 cross-sections and 20 year.

Thanks very much.

[Carlo Lazzaro]

Zhichao:
welcome to the list.
Possibly off-target, but can't you test the same via a random coefficient model (see -help mixed-)?

[Zhichao HE]

Hi,Carlo. I appreciate your help! Maybe I should post my question more completely.

I propose to explore the Granger causality between urban ecological protection and economic development in China. I think the Bootstrap Panel Granger Causality Tests is the excellent method for my research (Mutascu M. A bootstrap panel Granger causality analysis of energy consumption and economic growth in the G7 countries[J]. Renewable & Sustainable Energy Reviews, 2016, 63:166-171.).

Why I choose slope homogeneity tests proposed by M. Hashem Pesaran? Because in the artical of Mutascu M, the slope heterogeneity is the second assumption in the bootstrap panel causality approach, also N(190)>T(20) in my panel data. M. Hashem Pesaran proposeed a standardized version of Swamy’s test of slope homogeneity for panel data models where the cross section dimension (N) could be large relative to the time series dimension (T). Thus I think I need to use the test proposed by M. Hashem Pesaran.

I hope I can explain my question clearly.

[Carlo Lazzaro]

Zhichao:
thanks for providing further details.
The reason of my previous reply rested on the seeming absence, as far as I know, of an built-in or user-written Stata command that performs the test you'interested in.
You can try to spot it yourself by googling (adding Stata among the keywords) or directly Stata via -search Pesaran-.
I would also consider contacting the Dr/Prof. Mutascu and ask mim about a Stata code (if any exists) that can help you out.

[Zhichao HE]

Carlo:
Thank you! these paths were the good try but they didn't succeed. Maybe I reached an impasse.

Best regards,
Zhichao