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

Listed author(s):
  • Christopher F Baum


    (Boston College)

xttest2 calculates the Breusch-Pagan statistic for cross-sectional independence in the residuals of a fixed effect regression model or a GLS model estimated from cross-section time-series data. xtreg, fe 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.

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S415702.

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Programming language: Stata
Requires: Stata version 6.0
Date of creation: 05 Dec 2000
Date of revision: 15 Aug 2011
Handle: RePEc:boc:bocode:s415702
Note: This module may be installed from within Stata by typing "ssc install xttest2". Windows users should not attempt to download these files with a web browser.
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