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 ()

CEDLAS, Working Papers from CEDLAS, Universidad Nacional de La Plata

Abstract: A new Stata command, xtsktest, is proposed to explore non-normalities in linear panel data models. The tests explore skewness and excess kurtosis allowing researchers to identify departures away from gaussianity in both error components of a standard panel regression, sepa- rately or jointly. The tests are based on recent results by Galvao, Montes- Rojas, Sosa-Escudero and Wang (2013), and can be seen as extending the classical Bera-Jarque normality test for the case of panel data.

JEL-codes: J08 J24 J68 O15 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2015-02
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (8)

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Journal Article: Tests for normality in linear panel-data models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:dls:wpaper:0178

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