Hello!
Could someone help me to clarify which test to use?
To test for cross-sectional correlation in my panel(Large N, small T) i used -xtcsd, pesaran or xtcsd, frees. This is the result:
. xtcsd, frees
Frees' test of cross sectional independence = 1.067
|--------------------------------------------------------|
Critical values from Frees' Q distribution
alpha = 0.10 : 0.5822
alpha = 0.05 : 0.8391
alpha = 0.01 : 1.4211
. xtcsd, pesaran
Pesaran's test of cross sectional independence = -0.607, Pr = 1.4564
So the test rejected cross-sectional correlation, or?
What is the command to test for heteroscedasticity? can i use the -xttest3-command for it?
For my panel (Large N, small T) is -xtgls appropriate to adress autocorrelation and heteroscedasticty?
Thanks for any comment or idea!
Caroline
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