st: re: prob with xttest2

[Kit Baum <baum@bc.edu>]

Abhijit reports

the xttest2 command for cross-sectional correlation is generating the
following reply

Correlation matrix of residuals is singular.
not possible with test
r(131);



The xttest2 command is looking at the correlation matrix of the  
residuals, which is N x N, where there are N groups of T observations  
in the panel. Abhijit says "in my case N=85, T=8."  The rank of that  
correlation matrix thus cannot exceed 8 (by definition, there can be  
no more than 8 linearly independent vectors in the 85 x 85 matrix).  
As in the case of -sureg-, which uses this correlation matrix in the  
"Zellner step", the test cannot be performed for panels with N > T.


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


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