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PANELHETERO: Stata module to examine the degree of heterogeneity across cross-sectional units using panel data

Author

Listed:
  • Takahide Yanagi

    (Kyoto University)

  • Ryo Okui

    (Seoul National University)

  • Heejun Lee

    (Seoul National University)

  • Yue Yu

    (New York University Shanghai)

  • Sophie Li

    (Boston University)

Programming Language

Stata

Abstract

panelhetero is a stata module to implement procedures to examine the degree of heterogeneity across cross-sectional units using panel data. It provides functions to implement procedures developed in Okui and Yanagi (2019, Journal of Econometrics) and Okui and Yanagi (forthcoming, Econometrics Journal). It estimates the mean, the autocovariances and/or the autocorrelations for each unit and then computes the cumulative distribution function, the density function and/or various statistical quantities such as mean and variance of estimated quantities. It also provide bias correction methods based on split-panel jackknife as well as statistical inference procedures.

Suggested Citation

  • Takahide Yanagi & Ryo Okui & Heejun Lee & Yue Yu & Sophie Li, 2020. "PANELHETERO: Stata module to examine the degree of heterogeneity across cross-sectional units using panel data," Statistical Software Components S458730, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s458730
    Note: This module should be installed from within Stata by typing "ssc install panelhetero". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/p/phecdf.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/phecdf.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/phkd.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/phkd.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/phmoment.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/phmoment.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lpanelhetero.mlib
    File Function: Mata object library
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/panelinit.dta
    File Function: sample data file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/panelhetero_illustration.do
    File Function: sample file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/p/panelhetero_mata_sourcecode.do
    File Function: source code
    Download Restriction: no
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