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  • Fillipe Soares
    started a topic CSD Test in xtabond2 GMM

    CSD Test in xtabond2 GMM

    Hello everyone,

    I would like to test for cross-sectional dependence in GMM regressions using xtabond2 but I still haven't found a way to do that in Stata.

    I have already noticed that xtcsd program is able to perform such a test, but only when we have Fixed Effects or Random Effects models.

    Thanks in advance.

  • JanDitzen
    replied
    There are several user written commands to test for cross-sectional dependence, such as xtcd, xtcd2 or xtcdf. All of those are available on SSC.

    However, you should be aware of the different assumptions on the asymptotics for the number of observations over time and cross-sectional units between GMM (xtabond2) and the xtcd/xtcd2/xtcdf commands.

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