Alejo, Javier Galvao, Antonio Montes-Rojas, Gabriel Sosa-Escudero, Walter
Year of Publication:
Documento de Trabajo 178
A new Stata command, xtsktest, is proposed to explore non-normalities in linear panel data models. The tests explore skewness and 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 the classical Bera-Jarque normality test for the case of panel data.
st0001 xtsktest skewness kurtosis normality panel data