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XTTEST2: Stata module to perform Breusch-Pagan LM test for cross-sectional correlation in panel data model

Author

Listed:
  • Christopher F Baum

    (Boston College)

Programming Language

Stata

Abstract

xttest2 calculates the Breusch-Pagan statistic for cross-sectional independence in the residuals of a panel data regression model or a GLS model estimated from cross-section time-series data. xtreg, fe or xtreg, re estimates this model assuming independence of the errors. A likely deviation from independent errors in the context of pooled cross-section time-series data (or panel data) is likely to be contemporaneous correlations across cross-sectional units. These correlations are those exploited by Zellner's seemingly unrelated regression (SUR) estimator, and this test is provided by sureg, corr in that context. This version of the routine is updated from that published in SJ 1-1 to properly handle unbalanced panels, and will work after ivreg2 on panel data.

Suggested Citation

  • Christopher F Baum, 2000. "XTTEST2: Stata module to perform Breusch-Pagan LM test for cross-sectional correlation in panel data model," Statistical Software Components S415702, Boston College Department of Economics, revised 09 Jan 2023.
    • Handle: RePEc:boc:bocode:s415702
    Note: This module may be installed from within Stata by typing "ssc install xttest2". 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.
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xttest2.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xttest2.sthlp
    File Function: help file
    Download Restriction: no
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