xtcsd tests for cross-sectional dependence in Fixed Effects or Random Effects models. xtcsd tests the hypothesis of cross-sectional independence in panel data models with small T and large N by implementing two semi-parametric tests proposed by Friedman (1937) and Frees (1995, 2004), as well as the parametric testing procedure proposed by Pesaran (2004). xtcsd with option pesaran can handle balanced as well as unbalanced panels.
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
S456736.
Size: Programming language: Stata Requires: Stata version 6 Date of creation: 13 Jun 2006 Date of revision:
10 Apr 2007 Handle: RePEc:boc:bocode:s456736
Note: This module may be installed from within Stata by typing "ssc install xtcsd". Windows users should not attempt to download these files with a web browser. Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC