Heterogeneity test

Questions related to panel (pooled cross-section time series) data.
atarca
Posts: 25
Joined: Thu Dec 08, 2011 8:48 pm

Heterogeneity test

Unread post by atarca »

Dear Tom,
While running the @panelfm procedure, I have two regressors. How should I change the rows below to compute the heterogeneity test(s) with two slope coefficients? Also, if I have a trend term do I need additional changes in the program below? Thank you very much for your help in advance.
Regards,
atarca

* Heterogeneity test (slope coefficient only)
*
sstats(mean) 1 %ngroup %%ixx(t)(1,1)>>meanvar %%ibetas(1,t)>>meanbeta
dec symm v(%ngroup,%ngroup)
dec vect b(%ngroup)
ewise v(i,j)=(i==j)*%%ixx(i)(1,1)-(1.0/%ngroup)*%%ixx(i)(1,1)-(1.0/%ngroup)*%%ixx(j)(1,1)+1.0/(%ngroup)*meanvar
ewise b(i)=%%ibetas(1,i)-meanbeta
compute hettest=%qforminv(v,b)
cdf(title="Heterogeneity Test") chisqr hettest %ngroup-1
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