Breusch–Pagan LM (BP LM) Test for Cross Sectional Dependency Test (CSD) of Panel Data

[thikee adam]

I am currently working on my dissertation on the impact of institutional quality on greenhouse gas emissions. I am trying to do a panel ardl with 4 countries, and period from 1996-2020. I would like to do a Breusch–Pagan LM test to check the cross sectional dependence of the respective countries.

The code I used is hettest x1 x2 x3 x4 x5 x6 x7, but this is giving an overall result. I would like to know if anyone knows the proper code to get the BP-LM result for each variable used please.

Thank you

[Carlo Lazzaro]

Thikee:
you can specify the variable you're interested in investigating the heteroskedastcity of:

. use "C:\Program Files\Stata17\ado\base\a\auto.dta"
(1978 automobile data)

. regress price mpg trunk

      Source |       SS           df       MS      Number of obs   =        74
-------------+----------------------------------   F(2, 71)        =     10.14
       Model |   141126459         2  70563229.4   Prob > F        =    0.0001
    Residual |   493938937        71  6956886.44   R-squared       =    0.2222
-------------+----------------------------------   Adj R-squared   =    0.2003
       Total |   635065396        73  8699525.97   Root MSE        =    2637.6

------------------------------------------------------------------------------
       price | Coefficient  Std. err.      t    P>|t|     [95% conf. interval]
-------------+----------------------------------------------------------------
         mpg |  -220.1649   65.59262    -3.36   0.001    -350.9529    -89.3769
       trunk |   43.55851   88.71884     0.49   0.625    -133.3418    220.4589
       _cons |   10254.95   2349.084     4.37   0.000      5571.01    14938.89
------------------------------------------------------------------------------


. estat hettest

Breusch–Pagan/Cook–Weisberg test for heteroskedasticity 
Assumption: Normal error terms
Variable: Fitted values of price

H0: Constant variance

    chi2(1) =   7.96
Prob > chi2 = 0.0048

. estat hettest trunk

Breusch–Pagan/Cook–Weisberg test for heteroskedasticity 
Assumption: Normal error terms
Variable: trunk

H0: Constant variance

    chi2(1) =   2.19
Prob > chi2 = 0.1392


. estat hettest mpg

Breusch–Pagan/Cook–Weisberg test for heteroskedasticity 
Assumption: Normal error terms
Variable: mpg

H0: Constant variance

    chi2(1) =   8.20
Prob > chi2 = 0.0042

.

[thikee adam]

Thank you Mr. Carlo Lazzaro for your prompt response. It is much appreciated!
Kind regards,
Shaifa