Cross-dependence in panel data

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petra89
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Joined: Thu Dec 10, 2015 2:51 pm

Cross-dependence in panel data

Postby petra89 » Thu May 26, 2016 5:03 am

Hi,

When testing for cross-dependence in panel data, do I need to test as a pre-estimation for each "raw" variable or as a post-estimation on the residuals from an OLS, and what is the difference. This is because I want to test for cross-dependence before running unit root tests.

Thanks.
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