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XTCSD: Stata module to test for cross-sectional dependence in panel data models

Author

Listed:
  • R. E. De Hoyos

    (University of Cambridge)

  • Vasilis Sarafidis

    (University of Sydney)

Programming Language

Stata

Abstract

xtcsd tests for cross-sectional dependence in Fixed Effects or Random Effects models. xtcsd tests the hypothesis of cross-sectional independence in panel data models with small T and large N by implementing two semi-parametric tests proposed by Friedman (1937) and Frees (1995, 2004), as well as the parametric testing procedure proposed by Pesaran (2004). xtcsd with option pesaran can handle balanced as well as unbalanced panels.

Suggested Citation

  • R. E. De Hoyos & Vasilis Sarafidis, 2006. "XTCSD: Stata module to test for cross-sectional dependence in panel data models," Statistical Software Components S456736, Boston College Department of Economics, revised 10 Apr 2007.
  • Handle: RePEc:boc:bocode:s456736
    Note: This module should be installed from within Stata by typing "ssc install xtcsd". 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/xtcsd.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtcsd.hlp
    File Function: help file
    Download Restriction: no
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