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Re: st: Tests for cross sectional dependence when xttest2 doesn't work


From   Markus Eberhardt <markus.eberhardt@economics.ox.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Tests for cross sectional dependence when xttest2 doesn't work
Date   Tue, 7 Jun 2011 12:14:15 +0100

You can use
xtcsd
written by De Hoyos and Sarafidis as a post-estimation command after xtreg
or
xtcd
written by myself (not a post-estimation command, works on variables
or residuals).

Both can be found via - find - in Stata.

Markus Eberhardt
ESRC Post-doctoral Research Fellow, Centre for the Study of African
Economies, Department of Economics, University of Oxford
Stipendiary Lecturer, St Catherine's College, Oxford

web: http://sites.google.com/site/medevecon/home
email: markus.eberhardt@economics.ox.ac.uk
twitter: http://twitter.com/sjoh2052
mail: Centre for the Study of African Economies, Department of
Economics, Manor Rd, Oxford OX1 3UQ, England




On 7 June 2011 11:58,  <rado645-bg@yahoo.de> wrote:
> Dear all,
>
> I would like to test for the presence of cross-sectional dependence in my
> unbalanced panel dataset. However when running the xttest2 command, I receove
> the following error message:
>
> " xttest2
>
> Correlation matrix of residuals is singular.
> not possible with test
>
> Is it possible to overcome this limit of the command? Is there another
> alternative to xttest2?
>
> I use the following command line for the regression:
> xtreg a1 a2 a3 ,fe
>
> Many thanks in advance.
>
> Best,
> R.
>
>
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