Testing for Cross-Sectional Dependence in Panel-Data Models
Top Cited Papers
- 1 November 2006
- journal article
- research article
- Published by SAGE Publications in The Stata Journal: Promoting communications on statistics and Stata
- Vol. 6 (4), 482-496
- https://doi.org/10.1177/1536867x0600600403
Abstract
This article describes a new Stata routine, xtcsd, to test for the presence of cross-sectional dependence in panels with many cross-sectional units and few time-series observations. The command executes three different testing procedures—namely, Friedman's (Journal of the American Statistical Association 32: 675–701) (FR) test statistic, the statistic proposed by Frees (Journal of Econometrics 69: 393–414), and the cross-sectional dependence (CD) test of Pe-saran (General diagnostic tests for cross-section dependence in panels [University of Cambridge, Faculty of Economics, Cambridge Working Papers in Economics, Paper No. 0435]). We illustrate the command with an empirical example.This publication has 17 references indexed in Scilit:
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