Perform Pesaran CD test¶

Source: man/performPesaranTest.Rd · Help: ?performPesaranTest

Checks for cross-sectional dependence in panel residuals.

Usage¶

performPesaranTest(model, data = NULL, id, time)

Arguments¶

model: an object of class lm.
data: data frame used to fit model. When NULL, the default, the model frame of model is used, so id and time must then be variables of the model. The model frame holds the terms of the model rather than its variables (log(x) rather than x), so a model that transforms a variable needs data, as does a model with an offset() term.
id: individual identifier column.
time: time column.

Value¶

An object of class htest.

Details¶

The statistic averages pairwise correlation coefficients of the residuals and is standardized to follow a normal distribution under the null of independence.

References¶

Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels. Cambridge Working Papers in Economics.

Examples¶

 df <- data.frame(id = rep(1:3, each = 5), time = rep(1:5, 3), x = runif(15), y = rnorm(15))
 m <- lm(y ~ x, data = df)
 performPesaranTest(m, df, "id", "time")