Tests for normality in linear panel-data models

Javier Alejo, Antonio Galvao, Gabriel Montes-Rojas () and Walter Sosa-Escudero ()
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Walter Sosa-Escudero: Universidad de San Andres-CONICET
Authors registered in the RePEc Author Service: Walter Sosa Escudero ()

Stata Journal, 2015, vol. 15, issue 3, 822-832

Abstract: We propose a new command, xtsktest, for explaining nonnormalities in linear panel-data models. The command performs tests to explore skewness and excess kurtosis, allowing researchers to identify departures from Gaussianity in both error components of a standard panel regression, separately or jointly. The tests are based on recent results by Galvao et al. (2013, Journal of Multivariate Analysis 122: 35–52) and extend the classical Jarque–Bera normality test for the case of panel data. Copyright 2015 by StataCorp LP.

Keywords: xtsktest; skewness; kurtosis; normality; panel data (search for similar items in EconPapers)
Date: 2015
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Working Paper: Tests for Normality in Linear Panel Data Models (2015)
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