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st: Error in using xttest2


From   Anirudh Shingal <Anirudh.Shingal@wti.org>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Error in using xttest2
Date   Mon, 9 Aug 2010 11:48:23 +0200

Dear All,

I have a dynamic heterogeneous non-stationary unbalanced panel with N=14 and T=25 and several explanatory variables.

When I use xttest2 to test for cross-sectional dependence, STATA says that the test cannot be done as the "correlation matrix of residuals is singular."

If I use xtcsd instead it works but technically it is incorrect to use this as N is not greater than T for my sample.

Why does this happen and what should I do?

Many thanks,
Anirudh


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