Tests for normality in linear panel data models

Alejo, Osvaldo Javier; Galvao, Antonio; Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter

info:eu-repo/semantics/article

Fecha

2015-04

Registro en:

Alejo, Osvaldo Javier; Galvao, Antonio; Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; Tests for normality in linear panel data models; Stata Press; Stata Journal; 15; 3; 4-2015; 822-832

1536-867X

http://hdl.handle.net/11336/99791

CONICET Digital

CONICET

https://repositorioslatinoamericanos.uchile.cl/handle/2250/4362345

Autor

Alejo, Osvaldo Javier

Galvao, Antonio

Montes Rojas, Gabriel Victorio

Sosa Escudero, Walter

Institución

Consejo Nacional de Investigaciones Científicas y Tecnológicas (Argentina)

Resumen

A new Stata command, xtsktest, is proposed to explore non-normalities in linear panel data models. The tests explore skewnessand 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 theclassical Bera-Jarque normality test for the case of panel data.

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