Tests for normality in linear panel data models
ALEJO, JAVIER; GALVAO, ANTONIO; MONTES ROJAS, GABRIEL VICTORIO; SOSA ESCUDERO, WALTER
Año: 2015 vol. 15 p. 822 - 822
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.