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st: New command in SSC: -xtcsd-
A new Stata post-estimation command is available from the SSC
archives--thanks to Prof. Baum who manages the SSC archives. To install
ssc install xtcsd
XTCSD: Test for cross-sectional dependence in panel data models
-xtcsd- tests for cross-sectional dependence in Fixed Effects or
Random Effects models. -xtcsd- tests the hypothesis of cross-sectional
independence in panel data models with small T and large N by
implementing two semi-parametric tests proposed by Friedman (1937)
and Frees (1995, 2004), as well as the parametric testing procedure
proposed by Pesaran (2004). -xtcsd- with option pesaran can handle
balanced as well as unbalanced panels.
Authors: Rafael E. De Hoyos and Vasilis Sarafidis
Support: firstname.lastname@example.org or V.Sarafidis@econ.usyd.edu.au
Our code benefited greatly from Christopher Baum's xttest2.
Thanks to David Drukker for very useful suggestions.
Rafael E. De Hoyos
Faculty of Economics
University of Cambridge
CB3 9DE, UK
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