pd_getcderror¶

Purpose¶

Computes error cross-section dependecy tests.

Format¶

{ LMbp, LM_adj, CDlm, CDlm_adj, CD } = pd_getcderror(y, x, N)¶

Parameters:

y (TNx1 vector) – Long format dependent panel data.
x (TNx1 vector) – Long format independent panel data.
N (Scalar) – Number of cross-sections.

Returns:

LMbp (Dataframe) – LM test of Breusch and Pagan (1980).
LM_adj (Dataframe) – Bias corrected LM test of Pesaran et al. (2008).
CDlm (Dataframe) – CDlm test of Pesaran (2004, 2020).
CDlm_adj (Dataframe) – Bias corrected CDlm test of Baltagi, Feng, Kao (2012).
CD (Dataframe) – CD test of Pesaran (2004, 2020).

Examples¶

library tspdlib_dv;

// Number of cross-sections
N = 9;

// Load data
data = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/pdcause.dat");

// Call test
{ LMbp, LMadj , CDlm, CDlmadj, CD } = pd_getCDError(data[., "Y"], data[. , "X"], N);

Source¶

pd_cdtests.src

pd_kpss

pd_stationary