Re: st:Normality and Granger Causality in Panel data

["D. Demetriou" <dd358@cam.ac.uk>]

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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