We derive the approximate results for two standardized measures of deviation from normality, namely, the skewness and excess kurtosis coefficients, for a class of econometric estimators. The results are built on a stochastic expansion of the moment condition used to identify the econometric...

This paper proposes a bias-adjusted version of Breusch and Pagan (1980) Lagrange multiplier (LM) test statistic of error cross-section independence, in the case of panel models with strictly exogenous regressors and normal errors. The exact mean and variance of the test indicator of the LM test...