CSD test (pesaran 2007)

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

Fatema19
Posts: 12
Joined: Mon Nov 25, 2019 6:37 am

CSD test (pesaran 2007)

Postby Fatema19 » Fri May 08, 2020 12:01 pm

Dear all,
Hello,

Just want you to know, after runing the CSD test (pesaran CD), how can i know if my variables have the CSD or not ? I mean what are the H0 and H1 ?

Thanks in advance.

EViews Glenn
EViews Developer
Posts: 2642
Joined: Wed Oct 15, 2008 9:17 am

Re: CSD test (pesaran 2007)

Postby EViews Glenn » Fri May 08, 2020 12:59 pm

The null is that there is no contemporaneous correlation in the residuals between the disturbances in different cross-section units. The alternative is that there is contemporaneous correlation.

http://www.eviews.com/help/helpintro.ht ... 23ww191025

Fatema19
Posts: 12
Joined: Mon Nov 25, 2019 6:37 am

Re: CSD test (pesaran 2007)

Postby Fatema19 » Fri May 08, 2020 3:39 pm

Thank you for your response.

But actually, i'm not talking about the diagnostic test for residuals but for variables as i want to do CSD test for my variables before doing unit root test as i read in a forum that :

"before stationarity check, observe cross-sectional dependence in your panels (usually Pesaran CD “Cross-Sectional Dependence Test”).
Third, if you have cross-sectional dependence in your variables, you will apply 2nd generation unit root tests like Breitung, Pesaran CIPS (Cross-sectional Augmented Im-Pesaran-Shin), and/or CADF (Cross-section Augmented Dickey-Fuller). If the variables do not suffer from cross-sectional dependence, you can proceed with 1st generation unit root tests like LLC (Levin, Lin, and the Chu), Hadri, IPS (Im-Pesaran-Shin), Fisher type ADF and/or PP, etc. You will need to read about each unit root test if it is appropriate for your data."

So to choose between first generation and second one, i should do CSD test, and i want to know what are the hypothesis that i should use for that.

Thank you in advance

EViews Glenn
EViews Developer
Posts: 2642
Joined: Wed Oct 15, 2008 9:17 am

Re: CSD test (pesaran 2007)

Postby EViews Glenn » Fri Jun 05, 2020 11:46 am

Sorry I missed seeing this question.

The CSD test is available on a series in a panel workfile. Simply open the series, select View/Cross-section Dependence Test.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 18 guests