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Re: st:Normality and Granger Causality in Panel data
From
"D. Demetriou" <[email protected]>
To
[email protected]
Subject
Re: st:Normality and Granger Causality in Panel data
Date
02 Apr 2012 19:42:10 +0100
Nick,
Thank you so much for you quick reply.
Well, my panel stracture is: T=10, N=9 (i.e. short panel).
The reason for asking about a valid Normality test is to be able to
reliably use t-statostics on coefficients etc.
Regarding your question about cross secctional dependence. This can be
tested, among other tests, by Pasaran CD test or Breusch-Pagan LM test. I
am not sure how you tackle cross sectional dependence. However, Hoechle
suggests to use Drisdoll and Kraay standard errors using the command
'xtscc'.
I am still in search for a valid Normality test for estimating xi:
xtreg........., fe/re vce models.
Thank you in advance for any thoughts on this,
DD
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