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Panel Data - Coggle Diagram
Panel Data
Tests
heterosedasticity
within
across
BOTH
correlation in error terms
within
auto
serial
test for presence
xtserial
correct for it
across
cross-sectional dependence csd
xtcsd (pesaran friedman frees) small T, large N (after xtreg, fe or re)
test for presence
xttest2 (LM-test statistic, by B-P) large T, small N
xtcsd
xtcd2
Ho: Weak dependence (i.e. N and T -> infinity) csd disappears and therefore the estimator is consistent.
xtcd
xtgls (by Park-Kmenta), large T, small N
xtscc (by Driskoll and Kraay) large T, large N
correct for it