Tests for Normality in Linear Panel-data Models-Reference-Cited by-同舟云学术

Tests for Normality in Linear Panel-data Models

Published:2015-10 Issue:3 Volume:15 Page:822-832
ISSN:1536-867X
Container-title:The Stata Journal: Promoting communications on statistics and Stata
language:en
Short-container-title:The Stata Journal

Author:

Alejo Javier¹²,Galvao Antonio³,Montes-Rojas Gabriel⁴,Sosa-Escudero Walter⁴

Affiliation:

1. Center for Distributive, Labor and Social Sciences Facultad de Ciencias Económicas Universidad de La Plata

2. The National Scientific and Technical Research Council (CONICET) La Plata, Argentina

3. University of Iowa Iowa City, IA

4. Universidad de San Andrés-CONICET Victoria, Argentina

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.

Publisher

SAGE Publications

Subject

Mathematics (miscellaneous)

Link

http://journals.sagepub.com/doi/pdf/10.1177/1536867X1501500314

Reference17 articles.

1. Measurement Errors in Investment Equations

2. Tests for Skewness, Kurtosis, and Normality for Time Series Data

3. Forecasting with panel data

4. Joint LM test for homoskedasticity in a one-way error component model

5. Testing for serial correlation, spatial autocorrelation and random effects using panel data

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