Tests for skewness and kurtosis in the one-way error component model

Galvao Jr, A. F., Montes-Rojas, G., Sosa-Escudero, W. & Wang, L. (2013). Tests for skewness and kurtosis in the one-way error component model. Journal of Multivariate Analysis, 122, pp. 35-52. doi: 10.1016/j.jmva.2013.07.002

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Abstract

This paper derives tests for skewness and kurtosis for the panel data one-way error component model. The test statistics are based on the between and within transformations of the pooled OLS residuals, and are derived in a moment conditions framework. We establish the limiting distribution of the test statistics for panels with large cross-section and fixed time-series dimension. The tests are implemented in practice using the bootstrap. The proposed methods are able to detect departures away from normality in the form of skewness and kurtosis, and to identify whether these occur at the individual, remainder, or both error components. The finite sample properties of the tests are studied through extensive Monte Carlo simulations, and the results show evidence of good finite sample performance.

Item Type: Article
Additional Information: © 2013, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Uncontrolled Keywords: Panel data; Error components; Skewness; Kurtosis; Normality
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Divisions: School of Social Sciences > Department of Economics
URI: http://openaccess.city.ac.uk/id/eprint/12040

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