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cross-sectional-dependence

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ahaghnejad / CSED

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This repository contains the Matlab code for performing the cross-sectional error dependence tests in panel data models, including the Lagrange multiplier (LM) test by Breusch and Pagan (1980), the cross-sectional dependence (CD) and scaled LM (CD_LM) tests by Pesaran (2004, 2015), the bias‐adjusted LM test by Pesaran, Ullah, and Yamagata (2008)…

panel-data cross-sectional-dependence
  • Updated Mar 11, 2021
  • MATLAB

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