Konya(2006) developed a panel Granger causality in bi variate case. In this model cross sectional dependence test and slope homogeneity test are the two most important concept. And he Used SUR estimation.
Dear all i am looking for the stata command how can i test the three
1. Cov(μit,μjt) = 0 for all t and i ≠ j is tested against the alternative hypothesis of cross-sectional dependence H1 : Cov(μit,μjt) ≠ 0 for at least one pair of i ≠ j. For testing the null hypothesis, Breusch and Pagan (1980) developed the following LM test:
2. Pesaran (2004) proposed the following LM statistic for the cross-section dependency test.
3. The bias-adjusted LM statistic by peasaran etal 2008
Slope homogeneity test H0 : βi = β for all i against the hypothesis of heterogeneity H1 : βi ≠ βj for a non-zero fraction of
pair-wise slopes for i ≠ j.
Pesaran and Yamagata (2008) delta test
and how can i estimate SUR Using STATA
I grateful for your help
Dear all i am looking for the stata command how can i test the three
1. Cov(μit,μjt) = 0 for all t and i ≠ j is tested against the alternative hypothesis of cross-sectional dependence H1 : Cov(μit,μjt) ≠ 0 for at least one pair of i ≠ j. For testing the null hypothesis, Breusch and Pagan (1980) developed the following LM test:
2. Pesaran (2004) proposed the following LM statistic for the cross-section dependency test.
3. The bias-adjusted LM statistic by peasaran etal 2008
Slope homogeneity test H0 : βi = β for all i against the hypothesis of heterogeneity H1 : βi ≠ βj for a non-zero fraction of
pair-wise slopes for i ≠ j.
Pesaran and Yamagata (2008) delta test
and how can i estimate SUR Using STATA
I grateful for your help
