CDtest (cross-sectional dependence test)

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EViews Esther
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CDtest (cross-sectional dependence test)

Postby EViews Esther » Thu Jun 06, 2013 9:44 am

This thread is about the CDtest add-in that lets you test for the cross-sectional dependence in panel data.

[Update] (07/01/2014) Added a new warning message, "*The distribution of Frees’ Q statistic requires T>3" for the Frees test
- Computation of the appropriate quantiles for the Frees' Q distribution would be available when the minimum number of periods T>3.

gftiryaki
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Joined: Sat Oct 05, 2013 9:35 am

Re: CDtest (cross-sectional dependence test)

Postby gftiryaki » Sat Oct 05, 2013 9:41 am

Whenever I run any of the CDtests, I get the following error message:
PANCOV is not a valid view for_PRESID06 in "DO _PRESID06.PANCOV(OUT=_A01) UCOR OBS"
What could be the problem?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Re: CDtest (cross-sectional dependence test)

Postby EViews Gareth » Sat Oct 05, 2013 10:15 am

You need EV8.
Follow us on Twitter @IHSEViews

gftiryaki
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Joined: Sat Oct 05, 2013 9:35 am

Re: CDtest (cross-sectional dependence test)

Postby gftiryaki » Wed Oct 09, 2013 12:32 pm

Ok, Thanks!

tvonbrasch
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Bug in CDtest addin?

Postby tvonbrasch » Thu Jun 19, 2014 10:53 pm

Hi,

Is there a bug in the CDtest addin?
in the following workfile, when I run the cdtest command on the equation object dols, 4 of the five test statistics show NA. Also, the test statistic Pearson LM Normal has the value 0.0000 yielding a probability of 1.0000. Can this be right? Is this a bug or is this right? Under what circumstances will thse test statistics typically yield NA?
Thomas
Attachments
cdtest_NAs.WF1
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EViews Esther
EViews Developer
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Joined: Fri Sep 03, 2010 7:57 am

Re: CDtest (cross-sectional dependence test)

Postby EViews Esther » Wed Jul 02, 2014 11:21 am

There were computational issues because the given panel data is severely unbalanced (especially, *T<4*). Please reinstall your cdtest addin, and then you will see the following table with a warning message*.

The table shows the NA* value for the Frees test because computation of the appropriate quantiles of the Frees' Q distribution would be available for the case with T>3 only (where T is the minimum number of periods).
Attachments
Capture.PNG
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tvonbrasch
Posts: 284
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Re: CDtest (cross-sectional dependence test)

Postby tvonbrasch » Fri Jul 04, 2014 8:58 am

thank you for solving this issue!

amarnath1991
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Joined: Mon Feb 09, 2015 1:52 am

Re: CDtest (cross-sectional dependence test)

Postby amarnath1991 » Mon Feb 09, 2015 2:07 am

Dear Sir,

I have been trying to perform CD test in eviews 7 using the add in from your forum. But I encounter an error "PANCOV is not a valid view for_PRESID06 in "DO _PRESID06.PANCOV(OUT=_A01) UCOR OBS". There had been a previous post in the add ins forum where a person with Eviews 7 had got this problem resolved. Kindly let me know about how i can get over this problem.

EViews Esther
EViews Developer
Posts: 149
Joined: Fri Sep 03, 2010 7:57 am

Re: CDtest (cross-sectional dependence test)

Postby EViews Esther » Mon Feb 09, 2015 10:32 am

Can you upload your workfile so that I can replicate the error?

EViews Glenn
EViews Developer
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Re: CDtest (cross-sectional dependence test)

Postby EViews Glenn » Mon Feb 09, 2015 12:24 pm

As you have found, the add-in does not work with EViews 7. It requires the panel covariance computation which is an EViews 8 feature.


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