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Installation: ssc install npss. More details on this command. Reference: Botosaru, I. and Y. Sasaki (2018) Nonparametric Heteroskedasticity in Persistent Panel Processes: An Application to Earnings Dynamics. Journal of Econometrics, 203 (2), pp. 283-296. Paper. stata description and overview. GitHub Gist: instantly share code, notes, and snippets.