Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/127687
Authors: 
Alejo, Javier
Galvao, Antonio
Montes-Rojas, Gabriel
Sosa-Escudero, Walter
Year of Publication: 
2015
Series/Report no.: 
Documento de Trabajo 178
Abstract: 
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.
Subjects: 
st0001
xtsktest
skewness
kurtosis
normality
panel data
JEL: 
J08
J24
J68
O15
Document Type: 
Working Paper

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