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st: xtcsd and xtgls


From   "Caroline Johanna Biehl" <Caroline-Johanna.Biehl@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtcsd and xtgls
Date   Wed, 30 Sep 2009 14:52:37 +0200

Hello!
Could someone help me to clarify which test to use?
To test for cross-sectional correlation in my panel(Large N, small T) i used -xtcsd, pesaran or xtcsd, frees. This is the result:

. xtcsd, frees
 
  Frees' test of cross sectional independence =     1.067
|--------------------------------------------------------|
  Critical values from Frees' Q distribution
                      alpha = 0.10 :   0.5822
                      alpha = 0.05 :   0.8391
                      alpha = 0.01 :   1.4211

. xtcsd, pesaran
 
Pesaran's test of cross sectional independence =    -0.607, Pr = 1.4564

So the test rejected cross-sectional correlation, or?

What is the command to test for heteroscedasticity? can i use the -xttest3-command for it?

For my panel (Large N, small T) is -xtgls appropriate to adress autocorrelation and heteroscedasticty?

Thanks for any comment or idea!
Caroline


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