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

Author

Listed:
  • Jan Ditzen

    (Free University of Bozen-Bolzano)

Programming Language

Stata

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.

Suggested Citation

  • Jan Ditzen, 2019. "XTCSE2: Stata module to estimate the exponent of cross-sectional dependence in large panels," Statistical Software Components S458670, Boston College Department of Economics, revised 15 May 2023.
    • Handle: RePEc:boc:bocode:s458670
    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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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtcse2.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtcse2.sthlp
    File Function: help file
    Download Restriction: no
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    Cited by:

    1. Alejandro Almeida & Aida Galiano & Antonio A. Golpe & Juan M. Martín, 2020. "Regional unemployment and cyclical sensitivity in Spain," Letters in Spatial and Resource Sciences, Springer, vol. 13(2), pages 187-199, August.

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