Tests for normality in linear panel-data models
Javier Alejo
Center for Distributive, Labor and Social Sciences
Facultad de Ciencias Económicas
Universidad de La Plata
The National Scientific and Technical
Research Council (CONICET)
La Plata, Argentina
[email protected]
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Antonio Galvao
University of Iowa
Iowa City, IA
[email protected]
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Gabriel Montes-Rojas
Universidad de San Andrés-CONICET
Victoria, Argentina
[email protected]
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Walter Sosa-Escudero
Universidad de San Andrés-CONICET
Victoria, Argentina
[email protected]
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Abstract. We propose a new command, xtsktest, for explaining nonnormalities in
linear panel-data models. The command performs tests to explore skewness and
excess kurtosis, allowing researchers to identify departures from Gaussianity
in both error components of a standard panel regression, separately or
jointly. The tests are based on recent results by Galvao et al. (2013,
Journal of Multivariate Analysis 122: 35–52) and extend the
classical Jarque–Bera normality test for the case of panel data.
View all articles by these authors:
Javier Alejo, Antonio Galvao, Gabriel Montes-Rojas, Walter Sosa-Escudero
View all articles with these keywords:
xtsktest, skewness, kurtosis, normality, panel data
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