Tests for normality in linear panel-data models

被引：15

作者：

Alejo, Javier ^{[1
]}

Galvao, Antonio ^{[2
]}

Montes-Rojas, Gabriel ^{[3
]}

Sosa-Escudero, Walter ^{[3
]}

机构：

[1] Univ La Plata, Ctr Distribut Labor & Social Sci, Fac Ciencias Econ, Natl Sci & Tech Res Council CONICET, La Plata, Buenos Aires, Argentina

[2] Univ Iowa, Iowa City, IA USA

[3] Univ San Andres CONICET, Victoria, Argentina

来源：

STATA JOURNAL | 2015年 / 15卷 / 03期

关键词：

st0406; xtsktest; skewness; kurtosis; normality; panel data; ERROR-COMPONENTS; INVESTMENT; SKEWNESS; KURTOSIS;

D O I：

10.1177/1536867X1501500314

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

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.

引用

页码：822 / 832

页数：11

共 50 条

[1] Testing for serial correlation in linear panel-data models
Drukker, David M.
[J]. STATA JOURNAL, 2003, 3 (02): : 168 - 177
[2] SOME SPECIFICATION TESTS FOR PROBIT MODELS ESTIMATED ON PANEL-DATA
LECHNER, M
[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1995, 13 (04) : 475 - 488
[3] CONDITIONAL LOG-LINEAR MODELS FOR ANALYZING CATEGORICAL PANEL-DATA
GILULA, Z
HABERMAN, SJ
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1994, 89 (426) : 645 - 656
[4] Fitting partially linear functional-coefficient panel-data models with Stata
Du, Kerui
Zhang, Yonghui
Zhou, Qiankun
[J]. STATA JOURNAL, 2020, 20 (04): : 976 - 998
[5] Spatial panel-data models using Stata
Belotti, Federico
Hughes, Gordon
Mortari, Andrea Piano
[J]. STATA JOURNAL, 2017, 17 (01): : 139 - 180
[6] EFFICIENT ESTIMATION OF MODELS FOR DYNAMIC PANEL-DATA
AHN, SC
SCHMIDT, P
[J]. JOURNAL OF ECONOMETRICS, 1995, 68 (01) : 5 - 27
[7] Regression clustering for panel-data models with fixed effects
Christodoulou, Demetris
Sarafidis, Vasilis
[J]. STATA JOURNAL, 2017, 17 (02): : 314 - 329
[8] ESTIMATION OF CENSORED PANEL-DATA MODELS WITH SLOPE HETEROGENEITY
Abrevaya, Jason
Shen, Shu
[J]. JOURNAL OF APPLIED ECONOMETRICS, 2014, 29 (04) : 523 - 548
[9] PANEL-DATA - INTRODUCTION
BALTAGI, BH
[J]. JOURNAL OF ECONOMETRICS, 1995, 68 (01) : 1 - 4
[10] Quasi maximum likelihood estimation of linear dynamic short-T panel-data models
Kripfganz, Sebastian
[J]. STATA JOURNAL, 2016, 16 (04): : 1013 - 1038

← 1 2 3 4 5 →