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 te...
Guardado en:
| Autores principales: | , , , |
|---|---|
| Formato: | Articulo Documento de trabajo |
| Lenguaje: | Inglés |
| Publicado: |
2015
|
| Materias: | |
| Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/51201 http://cedlas.econo.unlp.edu.ar/download.php?file=archivos_upload/doc_cedlas178.pdf |
| Aporte de: |
| Sumario: | 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. |
|---|