XTCD2: Stata module to test for weak cross sectional dependence

Jan Ditzen

Statistical Software Components from Boston College Department of Economics

Abstract: xtcd2 tests residuals or a variable for weak cross sectional dependence in a panel data model. The test is based on the test outlined in Pesaran (Econometric Reviews, 2015). Under the null the residuals or the variable are weakly cross sectional dependent. The package supports balanced and unbalanced panels and can be performed as a postestimation command.

Language: Stata
Requires: Stata version 14
Keywords: panel data; cross sectional dependence; Pesaran (search for similar items in EconPapers)
Date: 2016-07-21, Revised 2023-05-15
Note: This module should be installed from within Stata by typing "ssc install xtcd2". 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 (1)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtcd2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcd2.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtset2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtset2.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2_auxiliary.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtdcce2_xtcd_helpfile.do sample do file (text/plain)

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