pantest2 is one of those very old routines placed on SSC before I
required that all submissions have a .hlp file. However its use is
fairly obvious.
webuse grunfeld
xtreg invest mvalue kstock,fe
pantest2 year
pantest2 requires one argument: the name of the time variable in the
tsset command. A modern version of this command would recover that from
the internals.
The test for significance of fixed effects is provided by xtreg,fe in
modern Stata. The test for normality is merely an sktest on the fixed
effects residual series.
There is a comment in the code that the test for independence is
strictly only valid for balanced panels. A modern version of the
command would enforce that constraint (or provide a warning to that
effect).
