Testing for cross-sectional dependence in panel-data models

Rafael E. De Hoyos, Vasilis Sarafidis

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394 Citations (Scopus)

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 languageEnglish
Pages (from-to)482-496
Number of pages15
JournalThe Stata Journal
Volume6
Issue number4
Publication statusPublished - 1 Dec 2006

Keywords

  • Cross-sectional dependence
  • Panel data
  • St0113
  • Xtcsd

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