LLC Unit Root Test

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marcsean
Posts: 14
Joined: Fri Jun 17, 2011 11:16 pm

LLC Unit Root Test

Postby marcsean » Tue Jun 28, 2011 11:21 am

A crucial assumption when applying the LLC Unit Root Test in panel data is the cross sectional independence of the error term.
How do I check in EViews, whether this assumption is satisfied?
Thank you
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: LLC Unit Root Test

Postby EViews Glenn » Tue Jun 28, 2011 1:25 pm

There are some issues about doing this on the residual terms, but the following thread describes one approach to testing...

http://forums.eviews.com/viewtopic.php? ... p=215#p201
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