If you mean testing for cross-sectional correlation in a panel with N > T,
there is a recent paper by Hashem Pesaran, which is easy to read and you
can do the calculations within 5 minutes in Stata.
See
http://www.econ.cam.ac.uk/faculty/pesaran/CDtestPesaranJune04.pdf
Vasilis
On Mar 4 2005, Ricardo Gon�alves Silva wrote:
Dear Kit,
Thaks for point me this shortfall.
Any idea concerning how can I test for contemporaneous correlation on a
panel of 124 x (18 to 33) dimension?
Cheers
Rick
----- Original Message -----
From: "Christopher F Baum" <[email protected]>
To: <[email protected]>
Sent: Thursday, March 03, 2005 6:51 PM
Subject: st: re: xttest2
> Ricardo said
> So I reject the null of homocedasticity. However, I also like to
> test for contemporaneous correlation, when using xttest2 I got the
> following
> error:
>
> Correlation matrix of residuals is singular.
> not possible with test
> r(131);
>
> My panel is 124 x (18 to 33) and has very few missing values.
> \
>
> If you mean that you have 124 panel units and 18-33 time periods per
> unit, then you cannot run sureg on these data, since it requires T > N.
> xttest2 uses the same correlation matrix as the SUR estimator, so if N
> > T, cannot be done.
>
> Kit
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
>
>
> --
> No virus found in this incoming message.
> Checked by AVG Anti-Virus.
> Version: 7.0.308 / Virus Database: 266.6.0 - Release Date: 2/3/2005
>
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
