English, Article edition: XTTEST2: Stata module to perform Breusch-Pagan LM test for cross-sectional correlation in fixed effects model Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/103053
Physical Description
  • code
Language
  • English

Edition details

Title
  • XTTEST2: Stata module to perform Breusch-Pagan LM test for cross-sectional correlation in fixed effects model
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • xttest2 calculates the Breusch-Pagan statistic for cross-sectional independence in the residuals of a fixed effect regression model or a GLS model estimated from cross-section time-series data. xtreg, fe estimates this model assuming independence of the errors. A likely deviation from independent errors in the context of pooled cross-section time-series data (or panel data) is likely to be contemporaneous correlations across cross-sectional units. These correlations are those exploited by Zellner's seemingly unrelated regression (SUR) estimator, and this test is provided by sureg, corr in that context. This version of the routine is updated from that published in SJ 1-1 to properly handle unbalanced panels, and will work after ivreg2 on panel data.
  • contemporaneous correlation, panel data, cross-section time-series
  • RePEc:boc:bocode:s415702
Language
  • English
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