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CDtest (cross-sectional dependence test)

Posted: Thu Jun 06, 2013 9:44 am
by EViews Esther
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.

Re: CDtest (cross-sectional dependence test)

Posted: Sat Oct 05, 2013 9:41 am
by gftiryaki
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?

Re: CDtest (cross-sectional dependence test)

Posted: Sat Oct 05, 2013 10:15 am
by EViews Gareth
You need EV8.

Re: CDtest (cross-sectional dependence test)

Posted: Wed Oct 09, 2013 12:32 pm
by gftiryaki
Ok, Thanks!

Bug in CDtest addin?

Posted: Thu Jun 19, 2014 10:53 pm
by tvonbrasch
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

Re: CDtest (cross-sectional dependence test)

Posted: Wed Jul 02, 2014 11:21 am
by EViews Esther
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).

Re: CDtest (cross-sectional dependence test)

Posted: Fri Jul 04, 2014 8:58 am
by tvonbrasch
thank you for solving this issue!

Re: CDtest (cross-sectional dependence test)

Posted: Mon Feb 09, 2015 2:07 am
by amarnath1991
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.

Re: CDtest (cross-sectional dependence test)

Posted: Mon Feb 09, 2015 10:32 am
by EViews Esther
Can you upload your workfile so that I can replicate the error?

Re: CDtest (cross-sectional dependence test)

Posted: Mon Feb 09, 2015 12:24 pm
by EViews Glenn
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.

Re: CDtest (cross-sectional dependence test)

Posted: Tue Jan 19, 2021 8:05 am
by aawoad
Hello
When I applied Residual Cross-Section Dependence Test on my unbalanced panel data (N=106, T=18), the finding for all types of tests are NA, could you please help?
Regards