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  • Cross Sectional Dependence and PMG

    Hi Everyone,

    How to calculate the Cross Sectional Depednace Test after estimating Pool Mean Group (PMG) effect.

    Regards,
    Marwan

  • #2
    I suppose you are using the xtpmg command.
    You can instead try using xtdcce2 for this purpose (there is a slight difference in that it uses OLS instead of the ML used by xtpmg), See the relevant paper by Jan Ditzen on the Stata Journal - it has a number of examples there (also check the .do file he has made available).

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