When the sample period covers a larger T (longer time period) and smaller N(few panels), parameters might be subject to structural changes and cross-sectional dependence (CSD). In this project, we have developed Stata codes that performs the following tasks:

  1. Pesaran (2004) tests that has the null hypothesis of cross-sectional independence
  2. Panel level correlation among the variables
  3. Panel stationarity test with bootstrap critical values
  4. Panel co-integration of Westerlund and Edgerton (2008)
  5. Common Correlated Effects Mean Group (CCEMG) (Pesaran, 2006)



The code is available for $ $179 with some example data. You can pay with PayPal or a credit card by clicking on the following button.

For further details, please contact us at:


How to get the code

Once you have paid the fee, just send email to the above address. We shall send the program installation link and the example dataset through email.



Pesaran, M.H., 2004. General Diagnostic Tests for Cross Section Dependence in Panels.
Pesaran, M.H., 2006. Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74 (4), 967–1012.

Westerlund, J., Edgerton, D.L., 2008. A simple test for cointegration in dependent panels with structural breaks. Oxf. Bull. Econ. Stat. 70 (5), 665–704.

Project id: 1332