Tests for Normality in Linear Panel Data Models

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.

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Year of publication:	2015
Authors:	Alejo, Javier ; Galvao, Antonio ; Montes-Rojas, Gabriel ; Sosa-Escudero, Walter
Publisher:	La Plata : Universidad Nacional de La Plata, Centro de Estudios Distributivos, Laborales y Sociales (CEDLAS)
Subject:	st0001 \| xtsktest \| skewness \| kurtosis \| normality \| panel data

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Series:	Documento de Trabajo ; 178
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	815791445 [GVK] hdl:10419/127687 [Handle] RePEc:dls:wpaper:0178 [RePEc]
Classification:	J08 - Labor Economics Policies ; J24 - Human Capital; Skills; Occupational Choice; Labor Productivity ; J68 - Public Policy ; O15 - Human Resources; Income Distribution; Migration
Source:	EconStor

Persistent link: https://www.econbiz.de/10011429432