我做了一个截面相关的检验
Pesaran's test of cross sectional independence = 3.525, Pr = 0.0004
Friedman's test of cross sectional independence = 31.701, Pr = 0.0004
Correlation matrix of residuals:
c1 c2 c3 c4 c5 c6 c7 c8 c9 c10 c11
r1 1.0000
r2 0.5780 1.0000
r3 0.4156 -0.2972 1.0000
r4 -0.3848 -0.5735 0.0831 1.0000
r5 0.2299 -0.4234 0.7004 0.1704 1.0000
r6 0.5918 0.7302 -0.0295 -0.3544 -0.4346 1.0000
r7 0.6302 0.2016 0.6882 -0.1124 0.3383 0.4063 1.0000
r8 -0.5494 -0.4471 0.0427 0.4223 -0.0272 -0.4066 -0.1910 1.0000
r9 0.5917 0.3218 0.3605 -0.2975 -0.1103 0.8038 0.4752 -0.2174 1.0000
r10 0.6132 0.2974 0.3180 0.0185 -0.0735 0.7339 0.6059 -0.3819 0.7529 1.0000
r11 0.0429 0.5971 -0.6427 -0.0178 -0.7649 0.5476 -0.3426 -0.1841 0.1126 0.1812 1.0000
Frees' test of cross sectional independence = 1.437
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Critical values from Frees' Q distribution
alpha = 0.10 : 0.1521
alpha = 0.05 : 0.1996
alpha = 0.01 : 0.2928
Average absolute value of the off-diagonal elements = 0.379
前两个p值小于0.01,但最后一个frees检验如何看p值?如何表明是否存在截面相关?谢谢各位大神!