New version of xtdcce2 and xtcd2. New package xtcse2

[JanDitzen]

Thanks to Kit Baum a new version of xtdcce2 and xtcd2 is available on SSC. In addition a new program called xtcse2 which estimates the exponent of cross-sectional dependence is available on SSC as well (see more details below). Updates and further documentation can be accessed on my github page too.

The new versions of xtdcce2 (now version 2.0, was formerly called 1.35beta) and xtcd include the following updates:

xtdcce2

• speed improvements, old method still available via option "blockdiaguse"
• improved checks for collinearities and inverting rank deficient matrices
• R2 calculation for mean group and pooled regressions following Holly et. al (2010)
• Newey-West type standard errors for pooled regressions (Pesaran 2006)
• Fixed-T standard errors for pooled regressions following Westerlund et. al (2019)
• Estimation of exponent of cross-sectional dependence (see below)
• several bugfixes (using jackknife option and if statement, use of binary variables, calculation of R2, if statement on panel ids)

xtcd2

• uses predict , e if xtreg is used.
• improved detection of unbalanced panels and missing observations

xtcse2
xtcse2 estimates the exponent of cross-sectional dependence in a panel with a large number of observations over time (T) and cross-sectional units (N). The estimation method follows Bailey, Kapetanios, Pesaran (2016, Journal of Applied Econometrics). xtcse2 estimates the strength of the cross-sectional dependence factor, for a residual or one or more variables. It outputs the point estimate, the standard error and confidence interval. It is intend to support the decision whether to include cross-sectional averages when using xtdcce2 and accompanies xtcd2 in testing for weak cross-sectional dependence. As a default it uses xtcd2 to test for weak cross-sectional dependence.


For further explanation of the command and a full list of updates please see the help file and my github page. The packages can be obtain directly from Stata using either SSC or from github (only Stata >14):

net from https://janditzen.github.io/xtdcce2/

Any comments, bugs or suggestions are of course welcome, either here or by mail.

[River Huang]

Dear JanDitzen, Thanks for sharing with us this useful package.

[Maali Alburaies]

Dear Mr.Jan,
I hope you are doing

1- What are the differences between Codes:xtcse2 & xtcd2, in panel regression?!

2-Which one is the best to test CSD in my panel data?

[JanDitzen]

Dear Maalia,
thank you very much for your interest in xtdcce2.

xtcse2 estimates the exponent of cross-section dependence (i.e. the strenght of dependence), xtcd2 performs the test for strong cross-sectional dependence. My usual advice to use both as they give a complete picture. For a discussion on this topic see the following paper: https://ideas.repec.org/p/bzn/wpaper/bemps81.html

Hope this helps.

Best,
Jan