[ENH] Add Pesaran CD panel dependence diagnostic - #703
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Add a cached pesaran_cd result property for panel estimators, backed by idiosyncratic residual correlations and a standard-normal test container, with balanced and unbalanced coverage in the panel and shared hypothesis tests. Implements the diagnostic in Pesaran, M. H. (2021), "General diagnostic tests for cross-sectional dependence in panels", Empirical Economics, 60(1), 13-50. Co-Authored-By: OpenAI Codex <codex@openai.com>
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Codecov Report❌ Patch coverage is 95.00000% with 5 lines in your changes missing coverage. Please review.
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## main #703 +/- ##
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- Coverage 99.54% 99.52% -0.03%
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Files 101 101
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Branches 1430 1435 +5
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+ Hits 17347 17440 +93
- Misses 29 31 +2
- Partials 50 53 +3
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Summary
Motivation
Pesaran's CD test is a widely used panel diagnostic for residual cross-sectional dependence, especially when users want a quick dependence check after fitting pooled, fixed-effects, or random-effects models. linearmodels already exposes panel result diagnostics and residual accessors, so this test fits naturally in the existing results API.
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