Galvao, Antonio F.; Montes-Rojas, Gabriel; … - In: Journal of Multivariate Analysis 122 (2013) C, pp. 35-52
This paper derives tests for skewness and kurtosis for the panel data one-way error component model. The test statistics are based on the between and within transformations of the pooled OLS residuals, and are derived in a moment conditions framework. We establish the limiting distribution of...