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

Author

Listed:
  • Christopher F Baum

    () (Boston College)

Abstract

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.

Suggested Citation

  • Christopher F Baum, 2000. "XTTEST2: Stata module to perform Breusch-Pagan LM test for cross-sectional correlation in fixed effects model," Statistical Software Components S415702, Boston College Department of Economics, revised 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.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/x/xttest2.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xttest2.hlp
    File Function: help file
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