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Re: st: Re: re: xttest2


From   Ricardo Gonçalves Silva <ricardogs@terra.com.br>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: re: xttest2
Date   Fri, 4 Mar 2005 13:26:05 -0300

Dear Vasilis

This is exactly what I was needing.
Thank you so much.

Rick
----- Original Message ----- From: "V. Sarafidis" <vs242@cam.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Friday, March 04, 2005 1:18 PM
Subject: 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.

See

http://www.econ.cam.ac.uk/faculty/pesaran/CDtestPesaranJune04.pdf

Vasilis


On Mar 4 2005, Ricardo Gonçalves Silva wrote:


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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