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XTCSI: Stata module to investigate Residual Cross-Section Independence

Author

Listed:
  • Maximo Sangiacomo

    (Banco Central de la República Argentina)

Programming Language

Stata

Abstract

xtcsi implements, in balanced panel time-series data, error tests for cross-section independence: i) the Breusch and Pagan (1980) LM test; ii) the Pesaran, Ullah and Yamagata (2008) bias-adjusted LM test; and iii) the Pesaran (2004) CD test.

Suggested Citation

  • Maximo Sangiacomo, 2014. "XTCSI: Stata module to investigate Residual Cross-Section Independence," Statistical Software Components S457848, Boston College Department of Economics, revised 07 Oct 2018.
    • Handle: RePEc:boc:bocode:s457848
    Note: This module should be installed from within Stata by typing "ssc install xtcsi". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtcsi.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtcsi.sthlp
    File Function: help file
    Download Restriction: no
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