Panel cross-sectional dependence test
[lm,pval]=cdtest_lmadj_ho0(y,index,x)
* 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
* lm = test statistic
* pval = statistic p-value