XTCDF: Stata module to perform Pesaran's CD-test for cross-sectional dependence in panel context
Statistical Software Components from Boston College Department of Economics
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).
Requires: Stata version 12
Keywords: cross-sectional dependence; panel; Pesaran (search for similar items in EconPapers)
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.
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458385
Ordering information: This software item can be ordered from
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 ().