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.
AlmeidaH., CampelloM., and GalvaoA. F.Jr.2010. Measurement errors in investment equations. Review of Financial Studies23: 3279–3328.
2.
BaiJ., and NgS.2005. Tests for skewness, kurtosis, and normality for time series data. Journal of Business and Economic Statistics23: 49–60.
3.
BaltagiB. H.2008. Forecasting with panel data. Journal of Forecasting27: 153–173.
4.
BaltagiB. H., BressonG., and PirotteA.2006. Joint LM test for homoskedasticity in a one-way error component model. Journal of Econometrics134: 401–417.
5.
BaltagiB. H., SongS. H., JungB. C., and KohW.2007. Testing for serial correlation, spatial autocorrelation and random effects using panel data. Journal of Econometrics140: 5–51.
6.
BaltagiB. H., SongS. H., and KohW.2003. Testing panel data regression models with spatial error correlation. Journal of Econometrics117: 123–150.
BlanchardP., and MátyásL.1996. Robustness of tests for error components models to non-normality. Economics Letters51: 161–167.
9.
EricksonT., and WhitedT. M.2000. Measurement error and the relationship between investment and q.Journal of Political Economy108: 1027–1057.
10.
FazzariS. M., HubbardR. G., and PetersenB. C.1988. Financing constraints and corporate investment. Brookings Papers on Economic Activity1: 141–195.
11.
GalvaoA. F., Montes-RojasG., Sosa-EscuderoW., and WangL.2013. Tests for skewness and kurtosis in the one-way error component model. Journal of Multivariate Analysis122: 35–52.
12.
GilbertS.2002. Testing the distribution of error components in panel data models. Economics Letters77: 47–53.
13.
HollyA., and GardiolL.2000. A score test for individual heteroscedasticity in a oneway error components model. In Panel Data Econometrics: Future Directions, ed. KrishnakumarJ., and RonchettiE., 199–211. Amsterdam: Elsevier.
14.
MeintanisS. G.2011. Testing for normality with panel data. Journal of Statistical Computation and Simulation81: 1745–1752.
15.
Montes-RojasG., and Sosa-EscuderoW.2011. Robust tests for heteroskedasticity in the one-way error components model. Journal of Econometrics160: 300–310.
16.
SteinJ. C.2003. Agency, information and corporate investment. In Handbook of the Economics of Finance: Volume 1A—Corportate Finance, ed. ConstantinidesG. M., HarrisM., and StulzR. M., 111–163. Amsterdam: Elsevier.
17.
Tolga ErgünA., and JunJ.2010. Conditional skewness, kurtosis, and density specification testing: Moment-based versus nonparametric tests. Studies in Nonlinear Dynamics and Econometrics14.
