Journal
STATA JOURNAL
Volume 6, Issue 4, Pages 482-496Publisher
SAGE PUBLICATIONS INC
DOI: 10.1177/1536867X0600600403
Keywords
st0113; xtcsd; panel data; cross-sectional dependence
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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.
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