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cdtest

Panel cross-sectional dependence test

CALLING SEQUENCE

 res=cdtest(namey,arg1,…,argn)

PARAMETERS

Input

• 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

Output

• 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

DESCRIPTION

Tests for cross-sectional dependence in homegeneous or heterogeneous panels (Bias-adjusted LM tests and Pesaran's 2004 test).

EXAMPLE

// LM adjusted test test on homogeneous panel
cdtest('dlxrate',pdb,'x=[money_s;rmmkt_s;pic_s]','lm_homo');
// LM adjusted test test on heterogeneous panel
cdtest('dlxrate',pdb,'x=[money_s;rmmkt_s;pic_s]','lm_hetero');
// Pesaran's (2004) test on heterogeneous panel
cdtest('dlxrate',pdb,'x=[money_s;rmmkt_s;pic_s]','cm_hetero');
// examples taken from pcce_d()

AUTHOR

Emmanuel Michaux 2012

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