Dear Users,
The folowing code is to implement a test for comtemporaneous correlation in
panel data, after xtreg ..., fe.
The statistic to be computed is: CD=sqrt(T/(N*(N-1))*pwc, where
T is the number of periods, N the panel dimension and pwc is the estimated
pair-wise residual correlation.
However, when I run it, I receive the error
. cdpesaran yr
the subcommand hold has been moved from estimates to _estimates
r(198);
Any hint?
* cdpesaran V1.0 cloned from bpagan.ado %Ricardo Gon�alves Silva
program define cdpesaran, rclass
syntax varlist(ts min=1 numeric) [if] [in]
tempname res res2 ravg regest
marksample touse
if "`sample'" == "" { qui replace `touse' = 0 if !e(sample) }
/* fetch residuals */
qui predict `res' if `touse' , res
qui gen `res2' = `res'
summ `res2', meanonly
qui gen `ravg' = 1.0/r(mean)*`res2'
/* regress scaled squared residuals on regressorlist */
estimates hold `regest'
qui regress `ravg' `varlist' if `touse'
return scalar N = e(N)
return scalar cdpesaran = sqrt(ts/(N*(N-1))*e(mss)
return scalar df = e(df_m)
return scalar p = normprob(return(df),return(cdpesaran))
di " "
di in gr "Pesara CD LM statistic: " /*
*/ in ye %9.0g return(cdpesaran) in gr /*
*/ in gr " Normal(" %2.0f in ye return(df) /*
*/ ") P-value = " in ye %6.0g return(p)
di " "
end
exit
--
No virus found in this outgoing message.
Checked by AVG Anti-Virus.
Version: 7.0.308 / Virus Database: 266.6.1 - Release Date: 4/3/2005
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
