XTCSD: Stata module to test for cross-sectional dependence in panel data models

Rafael E. De Hoyos () and Vasilis Sarafidis ()
Additional contact information
Vasilis Sarafidis: University of Sydney

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: Stata
Requires: Stata version 6
Keywords: panel data; fixed effects; random effects; cross sectional dependence (search for similar items in EconPapers)
Date: 2006-06-13
Note: This module may be installed from within Stata by typing "ssc install xtcsd". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtcsd.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcsd.hlp help file (text/plain)

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