Am 12.08.2016 um 20:45 schrieb Allin Cottrell:
On Fri, 12 Aug 2016, Sven Schreiber wrote:
> I have to admit I'm not up to date on this particular topic, i.e.
> whether there's a consensus view or diffferent preferences. Does
> anybody know more about these tests?
So far I've just worked from Pesaran's 2004 paper and the Stata Journal
article on the "xtcsd" command from 2006. Stata supports a couple of
other tests; they seem a bit fiddly to me and I haven't yet investigated
how well motivated they are, but it may be worth looking into them.
The new "modtest" option is open to extension, via the syntax
--xdepend=method, if we reckon that's worth doing.
Very good. We could ask on the users' list if anybody endorses another test.