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st: xttest2 update


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: xttest2 update
Date   Wed, 4 Jun 2003 13:35:16 -0400

The xttest2 routine, published in SJ 1-1, has been updated to correct a deficiency and add better error messages. Trevis Certo pointed out its anomalous behavior, which was the result of ignoring the time variable (i.e. allowing its use after xtreg ,fe i(), which does not require specification of t() via tis nor tsset). This makes the routine incapable of handling unbalanced panels properly. Although the routine will still run in Stata 6 or better, it now requires that tsset has been issued prior to its use.

Associated with this problem is the possibility that the number of common observations across a panel might be very small (either 2 or 1). In the former case, the correlation matrix of residuals is singular. In the latter case, it does not exist. The routine now provides more informative error messages in both instances, and refuses to run in the former case.

The revised routine is available via ssc install xttest2.

Thanks
Kit

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