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st: Re: re: xttest2


From   Ricardo Gonçalves Silva <ricardogs@terra.com.br>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: re: xttest2
Date   Fri, 4 Mar 2005 12:13:44 -0300

Dear Kit,
Thaks for point me this shortfall.
Any idea concerning how can I test for contemporaneous correlation on a
panel of 124 x (18 to 33) dimension?
Cheers

Rick
----- Original Message ----- From: "Christopher F Baum" <baum@bc.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, March 03, 2005 6:51 PM
Subject: st: re: xttest2



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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