EconPapers    
Economics at your fingertips  
 

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

Rafael De Hoyos () and Vasilis Sarafidis ()

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, Revised 2007-04-10
Note: This module should be installed from within Stata by typing "ssc install xtcsd". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
References: Add references at CitEc
Citations: Track citations by RSS feed

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)

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:s456736

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 ().

 
Page updated 2021-01-26
Handle: RePEc:boc:bocode:s456736