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st: Test for cross-sectional correlation with small T


From   Niklas Hoyer <removed>
To   statalist@hsphsun2.harvard.edu
Subject   st: Test for cross-sectional correlation with small T
Date   Wed, 03 Aug 2005 11:50:41 +0200

Dear users,

I tried to use the xttest2 after xtreg y x1 x2 ..., fe or xtgls y x1 x2....
to check for cross-sectional correlation.

Yet, I obtain the error message: "Correlation matrix of residuals is singular.
not possible with test"

The problems seems to be, that the number of households in my samples
is bigger than the number of periodes. I found an article by M. Hashem Pesaran
"General Diagnostic Tests for Cross Section Dependence in Panels", University of Cambridge & USC,
June 2004, on this subject. They seem to develop a test that can be used in this case.
My question: Is there any possibility to use it in stata? How?

Any help would be greatly appreciated. 
Thank you.


Niklas Hoyer

-------------------

student at the Ecole Nationale de la Statistique et de l'Administration Economique (ENSAE) in Paris
student at the Humboldt-Universitšt zu Berlin

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