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The Stata Journal
Volume 15 Number 3: pp. 822-832



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Tests for normality in linear panel-data models

Javier Alejo
Center for Distributive, Labor and Social Sciences
Facultad de Ciencias Económicas
Universidad de La Plata
The National Scientific and Technical
Research Council (CONICET)
La Plata, Argentina
javier.alejo@depeco.econo.unlp.edu.ar
Antonio Galvao
University of Iowa
Iowa City, IA
antonio-galvao@uiowa.edu
Gabriel Montes-Rojas
Universidad de San Andrés-CONICET
Victoria, Argentina
gmontesrojas@udesa.edu.ar
Walter Sosa-Escudero
Universidad de San Andrés-CONICET
Victoria, Argentina
wsosa@udesa.edu.ar
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.
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