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 x 1) real vector between quotes (this last case is the only one authorized if you are using a 'panel data' tlist, see below)
* arg1=
- either a 'panel data' tlist
- or an endogenous variable taking the form of a time series, a real (n x 1) vector or a string equal to the name of a time series or a (n x 1) real vector between quotes
* arg2,...,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 endogenous 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