Testing for normality with panel data

作者：Meintanis Simos G^*

来源：Journal of Statistical Computation and Simulation, 2011, 81(11): 1745-1752.

DOI：10.1080/00949655.2010.503654

• goodness-of-fit test
• empirical characteristic function
• mixed effects model
• panel data

Classical omnibus and more recent methods are adapted to panel data situations in order to jointly test for normality of the error components. The test statistics incorporate either the empirical distribution function or the empirical characteristic function, these functions resulting from estimation of the fixed and random components. Monte Carlo results show that the new procedure based on the empirical characteristic function compares favorably with classical methods.

• 出版日期2011