Help with xtcdf (cross sectional dependency test)

[Luqman Saeed Qazi]

Dear Friends

My name is Luqman and I am postgraduate student at Royal Holloway

I need help with XTCDF, pesaran cross section dependency test. I download and instal file from here http://fmwww.bc.edu/repec/bocode/x/xtcdf.ado

The log in stata run like this
. * Pesaran (2004/2015) CD-test for cross sectional dependence

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. *! Version 1.0.0 28jul2017

.
. * Contact [email protected] for bug reports/inquiries.

.
.
.
. * Changelog

.
. ** 28jul2017: Submitted to SSC

.
.
.
. cap mata mata drop flexCorr()

.
. cap mata mata drop prepData()

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. cap mata mata drop corrMatrix()

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. cap mata mata drop reshapeWideMata()

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. cap mata mata drop calcCD()

.
.
.
. cap program drop xtcdf

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. program define xtcdf, rclass
1.
. version 12
2.
. preserve
3.
.
.
. * Loop over variables
.
. syntax varlist
4.
. tempname cd meanObs meanCorr meanAbsCorr pvalue notEnoughJointObs
5.
.
.
. * Display some stuff
.
. qui xtset
6.
. di as result _newline "xtcd test on variables `varlist'"
7.
. di as text "Panelvar: " r(panelvar)
8.
. di as text "Timevar: " r(timevar)
9.
. di as text "{hline 16}{c TT}{hline 38}{c TT}{hline 22}{c TRC}"
10.
. di as text _col(2) " Variable" _col(16) " {c |}" _col(20) "CD-test" _col(30) "p-value" _col(40) "average joint T" " {c |}" _col(58) "mean ρ" _col(67) "mean abs(ρ)" _col(73
> ) " {c |}"
11.
. di as text "{hline 16}{c +}{hline 38}{c +}{hline 22}{c RT}"
12.
.
.
. * Perform xtcd test
.
. local j = 1
13.
. foreach var of local varlist {
14.
. ** Reshape data `var'
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. reshapeWide `var'
15.
.
.
. ** Calculate statistics
.
. mata: calcCD(theData)
16.
. scalar `cd' = round(cd, 0.001)
17.
. scalar `meanObs' = round(meanObs, 0.01)
18.
. scalar `meanCorr' = round(meanCorr, 0.01)
19.
. scalar `meanAbsCorr' = round(meanAbsCorr, 0.01)
20.
. scalar `pvalue' = round(pvalue, 0.001)
21.
. scalar `notEnoughJointObs' = notEnoughJointObs
22.
.
.
. ** Report statistics
.
. if `notEnoughJointObs' == 1 local errorMessage = `"" `notEnoughJointObs' " combination of panel units ignored (insufficient joint observations)."'
23.
. else if `notEnoughJointObs' > 1 local errorMessage = `"" `notEnoughJointObs' " combinations of panel units ignored (insufficient joint observations)."'
24.
. else local errorMessage = ""
25.
.
.
. di _col(2) %~14s = abbrev("`var'",14) _col(16) " {c +}" _col(20) `cd' _col(30) _skip(1) %4.3f = `pvalue' _col(40) %10.2f = `meanObs' _col(55) " {c +}" _skip(2) %3.2f = `meanCo
> rr' _col(67) _skip(3) %3.2f = `meanAbsCorr' _col(78) " {c RT}" _skip(1) as error "`errorMessage'"
26.
.
.
. ** Prep for return
.
. mat cds = (nullmat(cds), cd)
27.
. mat ps = (nullmat(ps), pvalue)
28.
.
.
. ** Return as scalar (more useful in some cases)
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. return scalar cd`j' = cd
29.
. return scalar pvalue`j' = pvalue
30.
. local j = `j' + 1
31.
. }
32.
.
.
. * Display more stuff
.
. di as text "{hline 16}{c BT}{hline 38}{c BT}{hline 22}{c BRC}"
33.
. di _col(2) "Notes: Under the null hypothesis of cross-section independence, CD ~ N(0,1)"
34.
. di _col(9) "P-values close to zero indicate data are correlated across panel groups."
35.
.
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. * Return stuff
.
. return matrix CD = cds
36.
. return matrix p = ps
37.
.
.
. restore
38.
. end

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.
.
.
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. cap program drop reshapeWide

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. program define reshapeWide, rclass
1.
. * Obtain variables to reshape
.
. syntax varlist
2.
. tsfill, full
3.
.
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. * Obtain time and panel variables
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. qui xtset
4.
. local panelvar = r(panelvar)
5.
. local timevar = r(timevar)
6.
.
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. * Obtain number of time units
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. qui duplicates report `panelvar'
7.
. local timelength = r(unique_value)
8.
.
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. * Load data in mata and reshape the mata matrix (tsfill, full is crucial)
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. mata: theData = reshapeWideMata("`varlist'", `timelength')
9.
. end

.
.
.
.
.
. mata:
------------------------------------------------- mata (type end to exit) --------------------------------------------------------------------------------------------------------
:
: void calcCD(real matrix theData) {
>
> // 1. Define objects
expression invalid
----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
r(3000);

.
. real scalar T, N, counter, i, j; real matrix subData, demeaned; real colvector corrVector, tVector; real rowvector s
command real is unrecognized
r(199);

.
. real scalar CD, corr_nr, meanObs, meanCorr, meanAbsCorr, pvalue
command real is unrecognized
r(199);

.
.
.
. // 2. Count number of groups
/ is not a valid command name
r(199);

.
. N = cols(theData)
command N is unrecognized
r(199);

.
.
.
. // 3. Calculate correlations per pair
/ is not a valid command name
r(199);

.
. corrVector = J(N*(N-1)/2, 1, .)
command corrVector is unrecognized
r(199);

.
. tVector = J(N*(N-1)/2, 1, .)
command tVector is unrecognized
r(199);

.
. counter = 1
command counter is unrecognized
r(199);

.
. for(i=1; i<=N; i++) {
invalid syntax
r(198);

.
. for(j=i+1; j<=N; j++) {
invalid syntax
r(198);

.
. // 3a. Select subdata
/ is not a valid command name
r(199);

.
. subData = select(theData[., (i, j)], theData[.,i]+theData[.,j] :!= .)
command subData is unrecognized
r(199);

.
.
.
. // 3b. Count number of joint observations
/ is not a valid command name
r(199);

.
. T = rows(subData)
command T is unrecognized
r(199);

.
. if (T < 3) {
T not found
r(111);

.
. corrVector[counter, 1] = 0
command corrVector is unrecognized
r(199);

.
. tVector[counter, 1] = 0
command tVector is unrecognized
r(199);

.
. counter++
command counter is unrecognized
r(199);

.
. continue
statement out of context
r(119);

.
. }
} is not a valid command name
r(199);

.
.
.
. // 3c. Calculate correlation
/ is not a valid command name
r(199);

.
. demeaned = subData - J(T, 1, 1) * colsum(subData)/T
command demeaned is unrecognized
r(199);

.
. s = sqrt( 1/(T-1) * colsum(demeaned:^2) )
command s is unrecognized
r(199);

.
. corrVector[counter, 1] = 1/(T-1) * colsum(demeaned[.,1]/s[1,1] :* demeaned[.,2]/s[1,2])
command corrVector is unrecognized
r(199);

.
. tVector[counter, 1] = T
command tVector is unrecognized
r(199);

.
. counter++
command counter is unrecognized
r(199);

.
. }
} is not a valid command name
r(199);

.
. }
} is not a valid command name
r(199);

.
.
.
. // 4. Calculate CD statistics
/ is not a valid command name
r(199);

.
. notEnoughJointObs = sum(tVector:==0)
command notEnoughJointObs is unrecognized
r(199);

.
. corr_nr = N*(N-1)/2 - notEnoughJointObs
command corr_nr is unrecognized
r(199);

.
. CD = sqrt(1/corr_nr)* (sqrt(tVector)' * corrVector)
command CD is unrecognized
r(199);

.
. pvalue = (1 - normal(abs(CD))) * 2
command pvalue is unrecognized
r(199);

.
.
.
. meanObs = mean(select(tVector, tVector:!=0))
command meanObs is unrecognized
r(199);

.
. meanCorr = mean(corrVector)
command meanCorr is unrecognized
r(199);

.
. meanAbsCorr = mean(abs(corrVector))
command meanAbsCorr is unrecognized
r(199);

.
. st_numscalar("cd", CD)
command st_numscalar is unrecognized
r(199);

.
. st_numscalar("meanObs", meanObs)
command st_numscalar is unrecognized
r(199);

.
. st_numscalar("meanCorr", meanCorr)
command st_numscalar is unrecognized
r(199);

.
. st_numscalar("meanAbsCorr", meanAbsCorr)
command st_numscalar is unrecognized
r(199);

.
. st_numscalar("pvalue", pvalue)
command st_numscalar is unrecognized
r(199);

.
. st_numscalar("notEnoughJointObs", notEnoughJointObs)
command st_numscalar is unrecognized
r(199);

.
. }
} is not a valid command name
r(199);

.
.
.
.
.
. // reshapeWideMata reshapes the mata matrix to a wide format (columns are panel units, rows are time periods)
/ is not a valid command name
r(199);

.
. real matrix reshapeWideMata(string scalar varname, real scalar timelength) {
command real is unrecognized
r(199);

.
. real matrix wideData
command real is unrecognized
r(199);

.
.
.
. wideData = st_data(wideData=., varname)
command wideData is unrecognized
r(199);

.
. wideData = rowshape(wideData, timelength)'
command wideData is unrecognized
r(199);

.
. return(wideData)
invalid syntax
r(198);

.
. }
} is not a valid command name
r(199);

.
. end
command end is unrecognized
r(199);

.


As you can see there seems to be error at the bottom. Once i run the test, i find this on the log

xtcd test on variables assasse
Panelvar: id
Timevar: time
------------------------------------------------------------------------------+
Variable | CD-test p-value average joint T | mean ρ mean abs(ρ) |
----------------+--------------------------------------+----------------------|
<istmt>: 3499 reshapeWideMata() not found




Can anyone help with this? Is this code error? If it is, then how can i fix it?

I am desperately in need of help and i will appreciate any assistance on this.

Luqman