XTCSDDIAG: Stata module to compute residual diagnostics for heterogeneous panels with cross-sectional dependence: serial correlation, heteroskedasticity, normality and parameter stability

Yusuf, Yusuf

XTCSDDIAG: Stata module to compute residual diagnostics for heterogeneous panels with cross-sectional dependence: serial correlation, heteroskedasticity, normality and parameter stability

Statistical Software Components from Boston College Department of Economics

Abstract: The residual tests in common use for panels (for example xtserial, xttest3, xtqptest) are built for fixed-effects models with homogeneous slopes and assume that the units are independent. With common factors in the errors, as in most macro panels, they over-reject, and they cannot be applied to the unit regressions of mean-group or common correlated effects (CCE) estimators. xtcsddiag fits the model unit by unit, tests the residuals of each unit, and combines the unit results.

Language: Stata
Requires: Stata version 14
Keywords: panel data; residuals; common factors (search for similar items in EconPapers)
Date: 2026-11-10
Note: This module should be installed from within Stata by typing "ssc install xtcsddiag". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
References: Add references at CitEc
Citations:

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s460016

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().