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Fwd: st:Normality and Granger Causality in Panel data
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Fwd: st:Normality and Granger Causality in Panel data
Date
Mon, 2 Apr 2012 19:51:41 +0100
DD sent me this privately. I am replying in public. Statalist
etiquette is to keep threads public.
With this context the problem changes.
Your bottom line is working with -xtreg- in which case you should tell
us in what sense normality is an assumption for this. Presumably you
want to look at the residuals.
Nick
On Mon, Apr 2, 2012 at 7:42 PM, D. Demetriou <[email protected]> wrote:
> 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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