Added an error message for panel data and a heterogeneity test

Added data examination before the command is run and a sdtest

xtarimau.ado

@@ -1,4 +1,4 @@
-*! version 1.0.2  07oct2022  I I Bolotov
+*! version 1.0.3  07oct2022  I I Bolotov
 program define xtarimau, rclass
 	version 16.0
 	/*
@@ -50,13 +50,17 @@ program define xtarimau, rclass
 	syntax																	///
 	[varlist(ts fv)] [if] [in] [iw] [,										///
 		PREestimation(string asis) POSTestimation(string asis)				///
-		export(string asis) *												///
+		export(string asis) SDtest *										///
 	]
 	// adjust and preprocess options                                            
 	loc `tmp' = ustrregexm(`"`options'"', ".*ic\((\w+)\).*", 1)
 	loc ic    = cond(ustrregexs(1) == "", "aic", ustrregexs(1))
 	// get timevar, panelvar and panelval                                       
 	qui tsset, noq
+	if "`r(panelvar)'" == "" {						 // examine data
+		di as err "command requires panel data"
+		exit 459
+	}
 	loc `timevar'  = r(timevar)
 	loc `panelvar' = r(panelvar)
 	qui levelsof ``panelvar'', matrow(`panelval')
@@ -158,6 +162,24 @@ program define xtarimau, rclass
 					  "%5.0f & %5.0f & %6.0f | %12.4f &"
 		matlist `models', title(``title'') rspec(``rspec'') cspec(``cspec'')
 	}
+	// print tests
+	if trim(`"`sdtest'"') != "" {
+		mata: p = (! strpos(st_local("options"), "stat") ? 1..3 :    (1,3)), /*
+			   */ (! strpos(st_local("options"), "seas") ? 4..6 : J(1,0,.))
+		mata: for(i = 1; i <= cols(p); i++) {;                              ///
+			  printf("\n{res}"  + ("p","d","q","P","D","Q")[p[i]]         + ///
+			         " {txt}in {res}" + (p[i] <= 3 ? "arima(#p,#d,#q)"      ///
+			                                       : "sarima(#P,#D,#Q)")    ///
+			);                                                              ///
+			  (void) _stata("sdtesti "                                    + ///
+			                strofreal(rows(st_matrix("`models'")))        + ///
+			                "      . "                                    + ///
+			                strofreal(sqrt(variance(                        ///
+			                               st_matrix("`models'")[.,p[i]]    ///
+			                ))) + " 0"                                      ///
+			); };
+		mata: mata drop p i
+	}
 	// return output                                                            
 	cap ret        loc ictests  ``ictests''
 	cap ret        loc icarima  ``icarima''

xtarimau.sthlp

@@ -1,5 +1,5 @@
 {smcl}
-{* *! version 1.0.2  07oct2022}{...}
+{* *! version 1.0.3  07oct2022}{...}
 {vieweralsosee "[TS] arima" "mansection TS arima"}{...}
 {vieweralsosee "" "--"}{...}
 {vieweralsosee "[TS] arima postestimation" "help arima postestimation"}{...}
@@ -68,6 +68,8 @@ panels with the help of {helpb arimaauto}
         be ignored{p_end}
 {synopt:{helpb kpss##options:kpss(...)}}options directly passed to {helpb kpss}
         except {opth maxl:ag(#)} which will be ignored{p_end}
+{synopt:{opt sd:test}}a test for heterogeneity, i.e., whether the standard
+        deviations of #p, #d, #q, #P, #D, #Q across the panel are {bf:0}{p_end}
 
 {syntab:ARIMA-related}
 {synopt:{opt nocons:tant}}suppress constant term if both
@@ -200,6 +202,14 @@ examples.
 help of the Schwert (1989) formula(s) (the default) or {cmd:xtarimau}'s
 {opth maxl:ag(#)} option.
 
+{pstd}
+{ul:Heterogeneity tests:}
+
+{pstd}
+A set of {helpb sdtesti} commands, called via the {bf:{opt sd:test}} option,
+is used to test whether the standard deviations of #p, #d, #q, #P, #D, #Q in
+{bf:r(models)} are equal to 0.
+
 {marker options}{...}
 {title:Options}