Dear all,
I want to test for cross-sectional dependency in
dynamic panel data estimated by System panel GMM. I have seen the paper of Sarafidis, Yamagata, and Robertson
(2008) "A test of cross section dependence for a linear dynamic panel
model with regressors". But I
cannot figure out how I will apply it. I would appreciate if someone
can show me a way for programming.
Thank you in advance,
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