Tests for Normality in Linear Panel-data Models

Tests for Normality in Linear Panel-data Models

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 joint...

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Veröffentlicht in:The Stata journal 2015-10, Vol.15 (3), p.822-832
Hauptverfasser: Alejo, Javier, Galvao, Antonio, Montes-Rojas, Gabriel, Sosa-Escudero, Walter
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Kurtosis
Mathematical research
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Zusammenfassung: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.
ISSN:1536-867X
1536-8734
DOI:10.1177/1536867X1501500314