cdTest
======
Purpose
-------
Runs cross-sectional dependence, CD, tests for panel data. The test
statistics constructed from the mean t-statistic has an asymptotic
standardized normal distribution and tests the null hypothesis that
all series are *I(1)* against the alternative that all series
are *I(0)*
Format
------
.. function:: cd = cdTest(res, model, grp_vector)
:param res: residuals from panel data regression.
:type res: Nx1 matrix
:param model: indicates which test to run\: 1 for Pesaran's test, 2 for Friedman's test, 3 for Frees' test. Note\: the only model appropriate for unbalanced data is model 1. This model will run by default if unbalanced panel data is detected.
:type model: scalar
:param grp: group indicator variable.
:type grp: Nx1 matrix
:return cd: test statistic
:rtype cd: matrix
Example
-------
::
new;
cls;
library tsmt;
/*************************************
//Generate data
**************************************/
// Set panel size parameters
N = 48;
T = 17;
// Simulate balanced group vector
grp = vec(reshape(seqa(1, 1, N), 17, 48));
// Simulate random stacked residuals
rndseed 90782;
y = rndn(T*N, 1);
/*************************************
/Run tests
**************************************/
// Run pesaran test [model = 1]
z1 = cdTest(y, 1, grp);
// Run Friedman test [model = 2]
z2 = cdTest(y, 2, grp);
// Run Frees test [model = 3]
z3 = cdTest(y, 3, grp);
The results printed to screen are
::
*** Pesaran's Test of Cross-Sectional Independence, Balanced Panels ***
Pesaran's CD Test Statistic = 0.77992932
p_value = 0.21771624
*** Friedman's Test of Cross-Sectional Independence, Balanced Panels ***
Friedman's Test Statistic = 21.77124183
p_value = 0.15073260
*** Frees' Test of Cross Sectional Independence for Balanced Panels ***
The Frees' Test Statistics =
FRE = 0.08560793 Ave. of R^2 = 0.06428350
Critical Values from Frees' Q-Distribution
Alpha level = 0.1 0.05 0.01
Critical Values or Quantiles = 0.15205 0.19963 0.29284
*** An Alternative Decision Rule ***
The Null Hypothesis is Rejected when Ave. of R^2 > inv(T-1) + Qq/N = 0.06860
Notes:
Qq = quantile of the Q-Distribution
N = number of groups
Library
-------
tsmt
Source
------
cdtestbalanced.src
.. seealso:: Functions :func:`cdTestUnbalanced`