English, Article edition: XTCSD: Stata module to test for cross-sectional dependence in panel data models R. E. De Hoyos; Vasilis Sarafidis

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Bookmark: http://trove.nla.gov.au/version/175851
Physical Description
  • code
Language
  • English

Edition details

Title
  • XTCSD: Stata module to test for cross-sectional dependence in panel data models
Author
  • R. E. De Hoyos
  • Vasilis Sarafidis
Physical Description
  • code
Notes
  • xtcsd tests for cross-sectional dependence in Fixed Effects or Random Effects models. xtcsd tests the hypothesis of cross-sectional independence in panel data models with small T and large N by implementing two semi-parametric tests proposed by Friedman (1937) and Frees (1995, 2004), as well as the parametric testing procedure proposed by Pesaran (2004). xtcsd with option pesaran can handle balanced as well as unbalanced panels.
  • panel data, fixed effects, random effects, cross sectional dependence
  • RePEc:boc:bocode:s456736
Language
  • English
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