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st: Testing cross-sectional dependence in a dynamic heterogeneous non-stationary unbalanced panel with small sample size
From
Anirudh Shingal <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Testing cross-sectional dependence in a dynamic heterogeneous non-stationary unbalanced panel with small sample size
Date
Fri, 6 Aug 2010 13:56:24 +0200
Dear All,
I have a dynamic heterogeneous non-stationary unbalanced panel with N=14 and T=25 and several explanatory variables.
When I use xttest2 to test for cross-sectional dependence, STATA says that the test cannot be done as the "correlation matrix of residuals is singular."
If I use xtcsd instead it works but technically it is incorrect to use this as N is not greater than T for my sample.
What should I do?
Many thanks,
Anirudh
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