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

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.