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

Am 26.06.2020 um 14:21 schrieb Sven Schreiber: > 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. BTW, re-visiting the (closed) feature request 97 "cross-sectional dependence test" I stumbled over my own remark that from 2016d on there exists "modtest ... --xdepend" natively. However, the user guide contains neither "cross dependence" nor "cross-sectional dependence". On the brighter side, a web search for "gretl cross-dependence" turns out links to the feature request mentioned above as well as to the command reference (modtest), and also to our CSDpanel package.