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

Author

Listed:
  • Markus Eberhardt

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

Abstract

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.

Suggested Citation

  • Markus Eberhardt, 2011. "XTCD: Stata module to investigate Variable/Residual Cross-Section Dependence," Statistical Software Components S457237, Boston College Department of Economics.
  • 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.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtcd.ado
    File Function: program code
    Download Restriction: no

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

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