In this article, we introduce a new community-contributed command, xthst, to test for slope heterogeneity in panels with many observations over cross-sectional units and time periods. The command implements such a test, the delta test (Pesaran and Yamagata, 2008, Journal of Econometrics 142: 50–93). Under its null, slope coefficients are homogeneous across cross-sectional units. Under the alternative, slope coefficients are heterogeneous in the cross-sectional dimension. xthst also includes two extensions. The first is a heteroskedasticity- and autocorrelation-consistent robust test along the lines of Blomquist and Westerlund (2013, Economics Letters 121: 374–378). The second extension is a cross-sectional-dependence robust version. We discuss all tests and present examples using an economic growth model. A Monte Carlo simulation shows that the size and the power behave as expected.

在本文中，我们引入了一个新的由社区贡献的命令xthst，以通过对横截面单位和时间段的许多观察来测试面板中的坡度异质性。该命令执行这样的测试，即增量测试（Pesaran和Yamagata，2008年，计量经济学杂志142：50-93）。在其为零时，斜率系数在整个横截面单元中是均匀的。在替代方案中，斜率系数在横截面尺寸上是异质的。xthst还包括两个扩展。第一个是沿着Blomquist和Westerlund（2013，Economics Letters）进行的异方差和自相关一致的稳健检验121：374-378）。第二个扩展是横截面相关的健壮版本。我们讨论所有测试，并使用经济增长模型提供示例。蒙特卡洛仿真表明，尺寸和功率表现出预期的效果。