Dears,
I want to do cross-sectional dependence tests in dynamic panel data ( Mean group, Pooled mean group, and dynamic fixed effect) of N<T data sets. For such, one would use the xttest2 command after xtreg,fe, xtgls or ivreg2 of Breusch and Pagan tests developed by Baum (2001,2003,2004) if the model was non-dynamic. If the data set was such that N >T one would also use xtcdf, CD-test of Pesaran (2004) and Pesaran (2015). I could not find the stata command of the Breusch and Pagan cross-sectional dependence test in a dynamic panel of N<T datasets. Please, let me know if there are any instructions, recommendations concerning this.
Thank you in advance
I want to do cross-sectional dependence tests in dynamic panel data ( Mean group, Pooled mean group, and dynamic fixed effect) of N<T data sets. For such, one would use the xttest2 command after xtreg,fe, xtgls or ivreg2 of Breusch and Pagan tests developed by Baum (2001,2003,2004) if the model was non-dynamic. If the data set was such that N >T one would also use xtcdf, CD-test of Pesaran (2004) and Pesaran (2015). I could not find the stata command of the Breusch and Pagan cross-sectional dependence test in a dynamic panel of N<T datasets. Please, let me know if there are any instructions, recommendations concerning this.
Thank you in advance
