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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 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

 

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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