Testing for cross-sectional dependence in panel-data models
AbstractThis article describes a new Stata routine, xtcsd, to test for the presence of cross-sectional dependence in panels with many cross-sectional units and few time-series observations. The command executes three different test- ing procedures —namely, Friedman’s (Journal of the American Statistical Associ- ation 32: 675–701) (FR) test statistic, the statistic proposed by Frees (Journal of Econometrics 69: 393–414), and the cross-sectional dependence (CD) test of Pe- saran (General diagnostic tests for cross-section dependence in panels [University of Cambridge, Faculty of Economics, Cambridge Working Papers in Economics, Paper No. 0435]). We illustrate the command with an empirical example. Copyright 2006 by StataCorp LP.
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Bibliographic InfoArticle provided by StataCorp LP in its journal Stata Journal.
Volume (Year): 6 (2006)
Issue (Month): 4 (December)
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Web page: http://www.stata-journal.com/
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