Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Tests for cross sectional dependence when xttest2 doesn't work
Date   Wed, 8 Jun 2011 03:26:33 -0400

<>
On Jun 8, 2011, at 8:33 AM, Rado wrote:

> 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?

No. The residual correlation (or covariance) matrix is computed from N vectors of length T in the case of a balanced panel. Obviously if N > T those N vectors cannot be linearly independent, and the rank of the matrix produced must be deficient. This is the same constraint that applies to SUR (-sureg-): you cannot have more equations than time periods per equation. In the case of a large-N, small-T panel, -xttest2- cannot be used.

Kit
author xttest2

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html




*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index