Contemporaneous correlation in cross-section SUR

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bfoubert
Posts: 1
Joined: Wed Jun 02, 2010 7:13 am

Contemporaneous correlation in cross-section SUR

Postby bfoubert » Wed Jun 02, 2010 7:28 am

I'm estimating a model with cross-section SUR and would like to obtain an estimate of the correlations across cross-sections and ideally be able to assess their significance. How should I proceed? Or should I find this in the default output?
Thanks for any advice.
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Contemporaneous correlation in cross-section SUR

Postby EViews Glenn » Wed Jun 02, 2010 9:23 am

If you are in a panel workfile, the best thing to do would be to compute a variant of the cross-section dependence test. There's a discussion of this at

http://forums.eviews.com/viewtopic.php? ... &sk=t&sd=a
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