Hello everyone,
Sorry to bother you all.
I am currently running my panel data model with N=37 and T=5. I choose Fixed Effect Model as suggested by Chow and Hausmann Test. All going well, until i did test for heteroskedasticity and autocorrelation. It turns out my data have both problem. As sugested in Hoechle (2007), exactly in conclusion, i understand it is important to test the cross-sectionally dependent to make sure that statistical inherence is valid. So I look up De Hoyos and Sarafidis (2006), from there I learn in order to test cross-sectionally dependent you can use three differente procedures which are Friedman, Frees, and Pesaran.
When I tried the Pesaran, i am kind of confused with the result as you can see below
. xtcsd, pesaran abs
Pesaran's test of cross sectional independence = -0.389, Pr = 1.3030
Average absolute value of the off-diagonal elements = 0.445
How I interprete this result ?
On other notes, I tried to using Frees and I got the results like these below :
xtcsd, frees
Frees' test of cross sectional independence = 0.812
|--------------------------------------------------------|
Critical values from Frees' Q distribution
alpha = 0.10 : 0.4892
alpha = 0.05 : 0.6860
alpha = 0.01 : 1.1046
how do interprete this result ? Thank you very much for your help.
Related Posts with XTCSD Pesaran
Create bar charts with data in multiple columnsHello! I'm using ODK to collect data in the field, for example symptoms experienced by cases, as che…
Meta-regression - subgroup analysesHi to everybody, Is it correct to conduct the meta-analysis by subgroups even if there are groups th…
xtdidregress: the first and last time control group observedHey folks, I am running a difference-in-differences regression on a panel data set. Consider the f…
Meta analysis of paired countsI have data from 70 studies reporting number of observed events in two similar time periods, one bef…
How to show different colours for different observations in scatter plot?Hi there, I have generated scatter plots for a numerical viable change by years in various industri…
Subscribe to:
Post Comments (Atom)
0 Response to XTCSD Pesaran
Post a Comment