[Gretl-devel] Re: Pesaran cross-dependence panel test
Am 29.06.2020 um 08:10 schrieb Riccardo (Jack) Lucchetti:
On Fri, 26 Jun 2020, Sven Schreiber wrote:
> Am 26.06.2020 um 14:21 schrieb Sven Schreiber:
>> Am 26.06.2020 um 12:43 schrieb Riccardo (Jack) Lucchetti:
>>>
https://link.springer.com/article/10.1007/s00181-020-01875-7
>>> (section 4)
>> 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.)
Yes, that seems to be the one, thanks.
OK, good; so adding that reference is one item on our to-do list for the
package.
Next I see various places where the documentation could use more updates
(notes to self):
- pkg install instead of just install
- add a remark about the native 'modtest ... --xdepend' (actually I
don't remember whether it's the same test, why the paper reference given
in the command doc is different [Pesaran, M. H. (2004) “General
diagnostic tests for cross section dependence in panels”. Cambridge
Working Papers in Economics (CWPE 0435)]
Possible enhancement: the variant for unbalanced panels seems to be
unimplemented yet.
Yes; do you need that? Does the native modtest cover that?
thanks
sven