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Re: st: xttest2 for N<T

From   Christopher Baum <[email protected]>
To   "[email protected]" <[email protected]>
Subject   Re: st: xttest2 for N<T
Date   Tue, 16 Aug 2011 08:54:44 -0400

On Aug 16, 2011, at 2:33 AM, Elii wrote:

> I have a panel of N=20 and T=28 and I want to test for cross sectional dependence. I read that Pesaran's test is valid only for N>T and LM test is applicable in my case. However, I have a problem after estimating with FE. I take the following:
> xttest2
> Correlation matrix of residuals is singular.
> not possible with test

Elii and I communicated privately about this. It turns out that the covariance matrix of residuals from her FE model is nearly singular, and xttest2 circa 2004 had a criterion for the determinant that was flagged. I relaxed the criterion, so that it now works on her dataset. The revised version is available from SSC. Ultimately the routine should be rewritten in Mata.


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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