I apologize in advance in case this is a silly questions but I could not find enlightening clues neither on Stata forum nor on internet. I have a panel data consisting of 59 cross-sectional units (countries) and 10 time-units (year) and I am trying to assess whether my residuals are normally distributed. This is the code I run:
Code:
. jb residuals
Jarque-Bera normality test: 1.377 Chi(2) .5022
Jarque-Bera test for Ho: normality:
.
. xtsktest, reps(500) seed(123)
(running _xtsktest_calculations on estimation sample)
Tests for skewness and kurtosis Number of obs = 465
Replications = 479
(Replications based on 59 clusters in country)
------------------------------------------------------------------------------
| Observed Bootstrap Normal-based
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
Skewness_e | 2.276566 11.81486 0.19 0.847 -20.88013 25.43326
Kurtosis_e | 353.2939 232.8903 1.52 0.129 -103.1627 809.7504
Skewness_u | 355.1194 112.5327 3.16 0.002 134.5594 575.6794
Kurtosis_u | 3539.433 1691.43 2.09 0.036 224.2903 6854.576
------------------------------------------------------------------------------
Note: One or more parameters could not be estimated in 21 bootstrap replicates;
standard-error estimates include only complete replications.
Joint test for Normality on e: chi2(2) = 2.34 Prob > chi2 = 0.3106
Joint test for Normality on u: chi2(2) = 14.34 Prob > chi2 = 0.0008Thank you in advance for your time
Best regards
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