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st: Pesaran test for cross section dependence in panels [was: Help in Programing]
The error statement is telling you need to change the line "estimates
hold..." to "_estimates hold..."
But there is a much more fundamental problem. -bpagen- is the Breusch-Pagan
(1979) Lagrange multiplier test for heteroskedasticity, not the
Breusch-Pagan (1980) LM test for cross-sectional correlation in fixed
You should take a look at -xttest2-.
Hope this helps,
Breusch, T. & Pagan, A. (1979), "A simple test of heteroskedasticity
and random coefficient variation", Econometrica 47.
Breusch T. & Pagan, A. (1980), "The LM test and its Applications to Model
Specification in Econometrics", Review of Economic Studies, 47.
> -----Original Message-----
> From: firstname.lastname@example.org [mailto:owner-
> email@example.com] On Behalf Of Ricardo Gonçalves Silva
> Sent: Friday, March 04, 2005 1:08 PM
> To: Stata
> Subject: st: Help in Programing
> Dear Users,
> The folowing code is to implement a test for comtemporaneous correlation
> panel data, after xtreg ..., fe.
> The statistic to be computed is: CD=sqrt(T/(N*(N-1))*pwc, where
> T is the number of periods, N the panel dimension and pwc is the estimated
> pair-wise residual correlation.
> However, when I run it, I receive the error
> . cdpesaran yr
> the subcommand hold has been moved from estimates to _estimates
> Any hint?
> * cdpesaran V1.0 cloned from bpagan.ado %Ricardo Gonçalves Silva
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