st: xttest2: Correlation matrix of residuals is singular.

["R.G.M. Nijskens" <R.G.M.Nijskens@uvt.nl>]

Hi,

I have a dataset with 35 banks (N) and 2600 trading days (T) each, and I want to test for cross-sectional dependence (which should be there in theory). However, I get the message: Correlation matrix of residuals is singular. not possible with test, r(131);

I already searched for this, but I do have T>N, so that should not be the problem! I already also tried xtcsd, and although that is not the right test, it gives me presence of cross-sectional dependence.

Any ideas anyone?

Thanks, Rob.



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