XTCSE2: Stata module to estimate the exponent of cross-sectional dependence in large panels

Jan Ditzen

Statistical Software Components from Boston College Department of Economics

Abstract: xtcse2 estimates the exponent of cross-sectional dependence in a panel with a large number of observations over time (T) and cross-sectional units (N). The estimation method follows Bailey, Kapetanios, Pesaran (2016). xtcse2 estimates the strength of the factor, for a residual or one or more variables. It outputs the point estimate, the standard error and confidence interval. It is intend to support the decision whether to include cross-sectional averages when using xtdcce2 and accompanies xtcd2 in testing for weak cross-sectional dependence. As a default it uses xtcd2 to test for weak cross-sectional dependence.

Language: Stata
Requires: Stata version 14 and xtcd2 from SSC (q.v.)
Keywords: panel data; cross-sectional dependence (search for similar items in EconPapers)
Date: 2019-07-15, Revised 2023-05-15
Note: This module should be installed from within Stata by typing "ssc install xtcse2". 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)

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http://fmwww.bc.edu/repec/bocode/x/xtcse2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtcse2.sthlp help file (text/plain)

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