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XTCD: Stata module to investigate Variable/Residual Cross-Section Dependence

  • Markus Eberhardt


    (Centre for the Study of African Economies, Department of Economics, University of Oxford)

The xtcd command implements the Pesaran (2004) CD test for cross-section independence in macro panel data. It builds on the existing xtcsd command by De Hoyos and Sarafidis (2006), but is not an post-estimation command. Instead the routine allows for the analysis of cross-section dependence in any variable and residual series specified. Furthermore it allows for the computation of the CD test as well as averaged correlation and absolute correlation coefficients for up to nine series at a time, thus representing a useful extension of the xtcsd command.

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457237.

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Programming language: Stata
Requires: Stata version 10
Date of creation: 06 Feb 2011
Date of revision:
Handle: RePEc:boc:bocode:s457237
Note: This module should be installed from within Stata by typing "ssc install xtcd". Windows users should not attempt to download these files with a web browser.
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