[Gretl-devel] Re: Pesaran cross-dependence panel test

Am 26.06.2020 um 12:43 schrieb Riccardo (Jack) Lucchetti: > when performing fixed-effects regressions, we report the classic > Breusch-Pagan poolability test. However, there is an alternative test by > Pesaran, > > https://link.springer.com/article/10.1007/s00181-020-01875-7 > > (section 4) which is getting increasingly popular, because it reportedly > has better small-sample properties. In fact, the working paper version > has been around for a long time, but now that it's been published, it > may make sense to have this in. > > The test seems to be relatively easy to implement, so we could have > somebody write a function package for it. Any takers? Hi Jack, please check out Jörg Breitung's and my package CSDpanel if that's one of the tests that are already in there. (My hunch would be yes.) If so, we might update the package just to include the reference to this publication.