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Re: st: xttest2 for N<T
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: xttest2 for N<T
Date
Tue, 16 Aug 2011 08:54:44 -0400
On Aug 16, 2011, at 2:33 AM, Elii wrote:
> I have a panel of N=20 and T=28 and I want to test for cross sectional dependence. I read that Pesaran's test is valid only for N>T and LM test is applicable in my case. However, I have a problem after estimating with FE. I take the following:
>
>
> xttest2
>
> Correlation matrix of residuals is singular.
> not possible with test
Elii and I communicated privately about this. It turns out that the covariance matrix of residuals from her FE model is nearly singular, and xttest2 circa 2004 had a criterion for the determinant that was flagged. I relaxed the criterion, so that it now works on her dataset. The revised version is available from SSC. Ultimately the routine should be rewritten in Mata.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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