slope homogeneity test

[e ahmadpour]

Hi Everyone,
I'm attempting to test slope homogeneity , so called delta test for slope homogeneity(Testing Slope Homogeneity in Large Panels ,pesaran and Yamagata,2008),can some one suggest how i could drive?

thanks,
eli

[Joseph Coveney]

I don't know what Pesaran & Yamagata, 2008, have to say (you'll probably want to give a complete citation there), but maybe it's something like that below?

mixed . . . || panel_id: time
estimates store Full
mixed . . . | panel_id:
lrtest Full

[e ahmadpour]

pesaran and Yamagata (2008) proposed the so-called delta test for testing slope homogeneity–H0:βi= β for all i–against the alternative
hypothesis of slope heterogeneity-H1:βi≠ βfor a non-zero fraction of pair-wise slopes for i ≠ j-. The Δ test is valid as (N,T) → ∞ without
any restrictions on the relative expansion rates of N and T when the error terms are normally distributed. In the Δ test approach, the first
step is to compute the modified version of Swamy, 1970 test.

[Nick Cox]

Please study http://www.statalist.org/forums/help Section 13 Literature references. Joseph already gave a gentle hint on this.

[Maarten Buis]

This does not help us help you. Please give the complete references as you would cite them in a journal article. That way we can look at those texts ourselves, so we know what test you really want.

Remember many tests live under different names in different (sub-)disciplines, so a name of a test alone often does not tell us which test you want. In order to help you we need to look at the article/book/working paper to see what the exact test is. A citation in the form "author name (year)" does not help us find that publication.

[e ahmadpour]

I'm attempting to test slope homogeneity , so called delta test for slope homogeneity(pesaran and Yamagata,2008,testing slope homogeneity in large panels.J.Econ.142(1),50-93),can some one suggest how i could drive it with stata?

thanks,
eli

[e ahmadpour]

Testing slope homogeneity in large panels

M,Hashem Pesaran,Takashi Yamagata

journal of Econometrics 142(1), january2008, pages 50-93

http://www.sciencedirect.com/science/article/pii/S0304407607001224

[Joseph Coveney]

Well findit pesaran turns up a number of user-written Stata commands, the closest of which having anything to do with slopes being xtmg, based on a cursory scan through the pop-up Viewer window. But this is far afield from anything that I'm familiar with, so if others don't have anything to offer, you might be out of luck.