TITLE

‘XTCD2’: module to test for weak cross sectional dependence

DESCRIPTION/AUTHOR(S)

xtcd2 tests residuals or a variable for weak cross sectional dependence in a panel data model. The test is based on the test outlined in Pesaran (Econometric Reviews, 2015). Under the null the residuals or the variable are weakly cross sectional dependent. The package supports balanced and unbalanced panels and can be performed as a postestimation command.

• KW: panel data
• KW: cross sectional dependence
• KW: Pesaran

Requires: Stata version 14

Distribution-Date: 20230515

Author: Jan Ditzen, Free University of Bozen-Bolzano

Support:

INSTALLATION FILES (click here to install)
xtcd2.ado
xtcd2.sthlp
xtset2.ado
xtset2.sthlp
xtdcce2_auxiliary.ado