Panel cross-sectional dependence test
res=cdtest(namey,arg1, ,argn)
namey = a real (n x 1) vector or a string equal to the name of a time series or a (n x1 ) real vector between quotes (this last case is the only one authorized if you are using a 'panel data' tlist, see below)
first input of arg1, ,argn:
- either a 'panel data' tlist
- or an endogenous variable taking the form of a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes
other input of arg1, ,argn:
- if first input of arg1, ,argn was a 'panel data' tlist then: other input are optional and can be:
either 'x=name1; ;namep' where name1, ,namep are a subset of the names of the variables that are in the database
the string 'nameid=name1, , namen' where name1, are names of individuals present in the database
or the string 'noprint' if the user does not want to print the estimation results
- if first input of arg1, ,argn was an endegnous variable then either:
- a time series
- a real (n x k) matrix
- a (k x 1) string vector of names of time series, vectors or matrices
- the string 'id=v' where v is the vector of individuals attached to the y and x data (this argument must be present somewhere in the list of variables arguments)
- the string 'noprint' if the user doesn't want the to print the results of the regression
- the string 'cd', 'lm_homo' or 'lm_hetero' with (see grocer manual for further technical details)
'- cd_hetero for Pesaran (2004) cross section dependence test for heterogeneous panel (default)
- 'lm_homo' for the Baltagi et alii (2012) LM-adjusted test for homogeneous panels
- 'lm_hetero' for Pesaran et alii (2008) LM-adjusted test for heterogeneous panels
res = a tlist with
. res('meth')='heterogeneous panel CD', 'heterogeneous panel LM-adj CD' or 'homogeneous panel LM-adj CD'
. res('cd_stat') = test statistic
. res('cd_pvalue') = test p-value