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 Pesaran (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.
| Original language | English |
|---|---|
| Pages (from-to) | 482-496 |
| Number of pages | 15 |
| Journal | The Stata Journal |
| Volume | 6 |
| Issue number | 4 |
| Publication status | Published - 1 Dec 2006 |
Keywords
- Cross-sectional dependence
- Panel data
- St0113
- Xtcsd