Alejo, Javier; Galvao, Antonio; Montes-Rojas, Gabriel; … - Facultad de Ciencias Económicas, Universidad Nacional … - 2015
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....