Cross correlation

[John Okrah]

Hello,

I have been trying to figure out how to conduct cross-correlation analysis for my panel (T=20, N=48) for my graduate thesis. Unfortunately, I don't seem to understand what exactly cross-correlation is and how to go about. I have already conducted the pairwise correlation and serial correlation. The searches I have done so far keep turning up cross-sectional dependence and contemporaneous correlations. Please, I would like to know if cross-correlation in panel data is the same as cross-sectional dependence, and if they are different how does one go about conducting cross-correlation test in Stata.

Thank you.

[Carlo Lazzaro]

John:
welcome to this forum.
Yiu may want to take a look at the community-contributed module -xtscc-.

[John Okrah]

Carlo:
Thank you for the expedient response to my query. I was able to get some material on cross-sectional dependence in panel data which really helped me understand the concept and conduct the analyses required in my thesis.

Regards
John

[Duncan Mphande]

John Okrah Hi, i seem to have a problem like one you had. i have followed the posts between you and Carlo Lazzaro and he referred you to a community based module on xtscc. I have searched for this module or words xtscc but cant find any module on statalist forum. Please, would you help me out where this is? I would like to read more about it so that i can conduct a cross correlation test on my data set, and would also like to decompose the cofficient in line with Sias (2004) model. I will be grateful for your kind feedback

[Carlo Lazzaro]

Duncan:
just type -search xtscc- from within Stata.