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Tests for normality in linear panel-data models
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DOI：10.1177/1536867X1501500314.png)
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Abstract
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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.
Keywords:
st0406
xtsktest
skewness
kurtosis
normality
panel data
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