st: xtreg fe - skewness and kurtosis in independent variables

[L_4_U@gmx.de]

Dear statalist,

I'm using an unbalanced datapanel (financial data) with 576 observations to estimate a fixed effects model with Stata 12.0. Tests indicate first order autocorrelation and heteroscedasticity of the error term, therefore I use robust standard errors. The command 

xtreg depv indv1 indv2 indv3 indv4 indv5 indv6 indv7 indv8 indv9 indv10, fe vce (ro)

can be run without problems and delivers satisfactory results without any obvious irregularities.

However, the descriptive statistics show above normal skewness and kurtosis of the independent variables. I. e. the independent variables INDV1 to INDV10 used to estimate the FE model are non-normally distributed:

var	obs	mean	std.-	min	max	skewn.	kurtosis
			dev.
----------------------------------------------------------------
depv	576	-0.123	0.279	-0.805	0.815	0.322	3.187
indv1	576	0.820	0.260	0.171	1.001	-1.261	3.228
indv2	576	-0.007	0.757	-14.255	5.389	-11.511	229.900
indv3	576	0.000	0.091	-0.310	0.581	0.790	7.727
indv4	576	0.669	0.234	0.231	1.100	0.082	1.612
indv5	576	0.486	0.236	0.000	3.030	2.301	28.001
indv6	576	0.050	0.989	-2.549	1.492	-0.74	2.671
indv7	576	0.378	0.621	0.014	7.721	8.651	86.881
indv8	576	0.024	0.037	0.002	0.250	3.501	16.339
indv9	576	0.041	0.117	0.001	0.570	3.410	13.440
indv10	576	2.073	6.638	0.002	63.120	5.555	37.301

Questions:

- Does xtreg estimate the FE-model correctly, despite non-normality of the independent variables?

- If not, will I have to normalize the independent variables before using xtreg?

Any comments are welcome!

Thanks,
Lothar
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