XTCD: Stata module to investigate Variable/Residual Cross-Section Dependence

Markus Eberhardt

Statistical Software Components from Boston College Department of Economics

Abstract: The xtcd command implements the Pesaran (2004) CD test for cross-section independence in macro panel data. It builds on the existing xtcsd command by De Hoyos and Sarafidis (2006), but is not an post-estimation command. Instead the routine allows for the analysis of cross-section dependence in any variable and residual series specified. Furthermore it allows for the computation of the CD test as well as averaged correlation and absolute correlation coefficients for up to nine series at a time, thus representing a useful extension of the xtcsd command.

Language: Stata
Requires: Stata version 10
Keywords: Panel data; Cross-Section Dependence; Common Factor Model; Pesaran CD Test (search for similar items in EconPapers)
Date: 2011-02-06
Note: This module should be installed from within Stata by typing "ssc install xtcd". 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.
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Citations: View citations in EconPapers (2)

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

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