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XTCDF: Stata module to perform Pesaran's CD-test for cross-sectional dependence in panel context

Jesse Wursten

Statistical Software Components from Boston College Department of Economics

Abstract: xtcdf calculates the CD-test for cross-sectional dependence described in Pesaran (2004) and Pesaran (2015) for a varlist of any length. The test can best be seen as an investigation of the mean correlation between panel units. The main insight of Pesaran (2004) is that a transformation of the sum of pairwise correlations between panel units is standardnormally distrubuted. The null hypothesis is either strict cross-sectional independence (Pesaran, 2004) or weak cross-sectional dependence (Pesaran, 2015).

Language: Stata
Requires: Stata version 12
Keywords: cross-sectional dependence; panel; Pesaran (search for similar items in EconPapers)
Date: 2017-07-31
Note: This module should be installed from within Stata by typing "ssc install xtcdf". 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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtcdf.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcdf.sthlp help file (text/plain)

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