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st: Re: Pesaran test for cross section dependence in panels [was: Help inPrograming]


From   Ricardo Gonçalves Silva <ricardogs@terra.com.br>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Pesaran test for cross section dependence in panels [was: Help inPrograming]
Date   Sun, 6 Mar 2005 13:45:05 -0300

Thank you Scott,
You are right. I however already solved the problem.

Thanks

Rick
----- Original Message ----- From: "Scott Merryman" <smerryman@kc.rr.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, March 05, 2005 12:23 PM
Subject: st: Pesaran test for cross section dependence in panels [was: Help inPrograming]



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
effects model

You should take a look at -xttest2-.

Hope this helps,
Scott


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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
statalist@hsphsun2.harvard.edu] 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
in
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
r(198);


Any hint?

* cdpesaran V1.0 cloned from bpagan.ado %Ricardo Gonçalves Silva



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