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cdtest_lmadj_ho0

Panel cross-sectional dependence test

CALLING SEQUENCE

 [lm,pval]=cdtest_lmadj_ho0(y,index,x)

PARAMETERS

Input

* y = a (nobs x neqs) matrix of all of the individual's observations vertically concatenated. This matrix must include in the first column the dependent variable, the independent variables must follow accordingly.

* index = index vector that identifies each observation with an individual e.g. 1 (first 2 observations for individual # 1) 1 2 (next 1 observation for individual # 2) 3 (next 3 observations for individual # 3) 3 3

* x = matrix of exogenous variables

 

Output

* lm = test statistic

* pval = statistic p-value

DESCRIPTION

Baltagi et alii bias-adjusted LM test of cross-sectional dependence in homogeneous panel data models.

AUTHOR

Emmanuel Michaux 2012

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