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

JOURNAL OF MULTIVARIATE ANALYSIS

卷:122

Article

Galvao, Antonio F.¹  Montes-Rojas, Gabriel^2,3  Sosa-Escudero, Walter^4,5  Wang, Liang⁶ 

[1] Univ Iowa, Dept Econ, Iowa City, IA 52242 USA

[2] Univ San Andres, CONICET, Buenos Aires, DF, Argentina

[3] City Univ London, Dept Econ, London EC1V 0HB, England

[4] Univ San Andres, Dept Econ, Buenos Aires, DF, Argentina

[5] Consejo Nacl Invest Cient & Tecn, RA-1033 Buenos Aires, DF, Argentina

[6] Univ Wisconsin, Dept Econ, Milwaukee, WI 53201 USA

关键词: Panel data;    Error components;    Skewness;    Kurtosis;    Normality;   

DOI  :  10.1016/j.jmva.2013.07.002

来源: Elsevier

【 摘 要 】

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. (C) 2013 Elsevier Inc. All rights reserved.

【 授权许可】

Free