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Re: st: Re: re: xttest2
If you mean testing for cross-sectional correlation in a panel with N > T,
there is a recent paper by Hashem Pesaran, which is easy to read and you
can do the calculations within 5 minutes in Stata.
On Mar 4 2005, Ricardo Gonçalves Silva wrote:
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?
----- Original Message -----
From: "Christopher F Baum" <firstname.lastname@example.org>
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
> Correlation matrix of residuals is singular.
> not possible with test
> 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.
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> * http://www.ats.ucla.edu/stat/stata/
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