Alejo, Javier; Galvao, Antonio Fialho <Jr.>; … - 2015
A new Stata command, xtsktest, is proposed to explore non-normalities in linear panel data models. The tests explore … standard panel regression, separately 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. …