Journal
STATA JOURNAL
Volume 15, Issue 3, Pages 822-832Publisher
SAGE PUBLICATIONS INC
DOI: 10.1177/1536867X1501500314
Keywords
st0406; xtsktest; skewness; kurtosis; normality; panel data
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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.
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