Hello to all dear researchers, professors and students in the fields of statistics, economics, etc.
I want to perform the dependence test (Cross-Sectional Dependence) between sections (Countries) before performing the panel unit root test, but my data is an unbalanced panel, please write me the order (command) to perform each of the following tests in the Stata software
1. Breusch-Pagan LM
2. Pesaran scaled LM
3. Bias-corrected scaled LM
4. Pesaran CD
If there is a need to install a certain package in stata before testing, please write me the instructions. Many thanks.
Thank you in advance for your kindness and valuable answers
1. Breusch-Pagan LM Test
- ssc install xttest
- xttest3
2. Pesaran Scaled LM Test
The Pesaran scaled LM test is a modification of the Breusch-Pagan LM test that accounts for the unbalanced nature of panel data.
- ssc install xtcsd
- xtcsd, pesaran
3. Bias-Corrected Scaled LM Test
A further adjustment for unbalanced panels is the bias-corrected scaled LM test, which provides a correction for the bias inherent in the original scaled LM test.
- xtcsd, biascorr
4. Pesaran CD Test
The Pesaran CD test is a test for cross-sectional dependence that is suitable for unbalanced panels.
- ssc install xttest2
- xttest2
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