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Re: st:Normality and Granger Causality in Panel data

From   "D. Demetriou" <>
Subject   Re: st:Normality and Granger Causality in Panel data
Date   02 Apr 2012 19:42:10 +0100


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,

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