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st: Test for cross-sectional correlation with small T

From   Niklas Hoyer <removed>
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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