Testing for cross-sectional dependence in panel-data models

被引：729
|
作者：
De Hoyos, Rafael E.
Sarafidis, Vasilis
机构：
[1] Univ Sydney, Sydney, NSW 2006, Australia
[2] World Bank, Dev Prospects Grp, Washington, DC 20433 USA
来源：
STATA JOURNAL | 2006年 / 6卷 / 04期
关键词：
st0113; xtcsd; panel data; cross-sectional dependence;
D O I：
10.1177/1536867X0600600403
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
This article describes a new Stata routine, xtcsd. to test for the presence of cross-sectional dependence in panels with many cross-sectional units and few time-series observations. The command executes three different testing procedures-namely, Friedman's (Journal of the American Statistical Association 32: 675-701) (FR) test statistic, the statistic proposed by Frees (.Journal of Econometrics 69: 393-414), and the cross-sectional dependence (CD) test of Pesaran (General diagnostic tests for cross-section dependence in panels [University of Cambridge, Faculty of Economics, Cambridge Working Papers in Economics, Paper No. 0435]). We illustrate the command with an empirical example.
引用
收藏
页码：482 / 496
页数：15
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