[Gretl-devel] Pesaran cross-dependence panel test

Hi all, 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? ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------