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Tests for normality in linear panel-data models

Author

Listed:
  • Javier Alejo

    () (Universidad de La Plata)

  • Antonio Galvao

    () (University of Iowa)

  • Gabriel Montes-Rojas

    () (Universidad de San Andres-CONICET)

  • Walter Sosa-Escudero

    () (Universidad de San Andres-CONICET)

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. Copyright 2015 by StataCorp LP.

Suggested Citation

  • Javier Alejo & Antonio Galvao & Gabriel Montes-Rojas & Walter Sosa-Escudero, 2015. "Tests for normality in linear panel-data models," Stata Journal, StataCorp LP, vol. 15(3), pages 822-832, September.
  • Handle: RePEc:tsj:stataj:v:15:y:2015:i:3:p:822-832
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    References listed on IDEAS

    as
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    3. Montes-Rojas, Gabriel & Sosa-Escudero, Walter, 2011. "Robust tests for heteroskedasticity in the one-way error components model," Journal of Econometrics, Elsevier, vol. 160(2), pages 300-310, February.
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    More about this item

    Keywords

    xtsktest; skewness; kurtosis; normality; panel data;

    JEL classification:

    • J08 - Labor and Demographic Economics - - General - - - Labor Economics Policies
    • J24 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Human Capital; Skills; Occupational Choice; Labor Productivity
    • J68 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Public Policy
    • O15 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Economic Development: Human Resources; Human Development; Income Distribution; Migration

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