Testing for cross–sectional dependence in panel–data models
Rafael E. De Hoyos
Development Prospects Group
The World Bank
Washington, DC
rdehoyos@worldbank.org
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Vasilis Sarafidis
University of Sydney
Sydney, Australia
v.sarafidis@econ.usyd.edu.au
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Abstract. This article describes a new Stata routine, xtcsd, to test for the
presence of cross-sectional dependence in panels with many cross-sectional
units and few time-series observations. The command executes three different
testing procedures—namely, Friedman’s (Journal of the
American Statistical Association 32: 675–701) (FR) test statistic,
the statistic proposed by Frees (Journal of Econometrics 69:
393–414), and the cross-sectional dependence (CD) test of Pesaran
(General diagnostic tests for cross-section dependence in panels
[University of Cambridge, Faculty of Economics, Cambridge Working Papers in
Economics, Paper No. 0435]). We illustrate the command with an empirical
example.
View all articles by these authors:
Rafael E. De Hoyos, Vasilis Sarafidis
View all articles with these keywords:
xtcsd, panel data, cross-sectional dependence
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