CD test for multi-equation model
Posted: Fri Jan 02, 2015 8:23 pm
Hello,
I want to test for cross-sectional dependence. I am running a multi-equation model using the system object and SURE as an estimator. My panel data is unabalanced. I work with data for several countries, and for each country I have 2 equations and at least 20 annual observations. Is there any add-in for a CD test for system objects? If not what is the best way to proceed?
thank you, c.
I want to test for cross-sectional dependence. I am running a multi-equation model using the system object and SURE as an estimator. My panel data is unabalanced. I work with data for several countries, and for each country I have 2 equations and at least 20 annual observations. Is there any add-in for a CD test for system objects? If not what is the best way to proceed?
thank you, c.