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st: re: xttest2


From   Christopher F Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: xttest2
Date   Thu, 3 Mar 2005 16:51:12 -0500

Ricardo said
So I reject the null of homocedasticity. However, I also like to
test for contemporaneous correlation, when using xttest2 I got the following
error:

Correlation matrix of residuals is singular.
not possible with test
r(131);

My panel is 124 x (18 to 33) and has very few missing values.
\

If you mean that you have 124 panel units and 18-33 time periods per unit, then you cannot run sureg on these data, since it requires T > N. xttest2 uses the same correlation matrix as the SUR estimator, so if N > T, cannot be done.

Kit

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