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Fwd: st:Normality and Granger Causality in Panel data

From   Nick Cox <>
Subject   Fwd: st:Normality and Granger Causality in Panel data
Date   Mon, 2 Apr 2012 19:51:41 +0100

DD sent me this privately. I am replying in public. Statalist
etiquette is to keep threads public.

With this context the problem changes.

Your bottom line is working with -xtreg- in which case you should tell
us in what sense normality is an assumption for this. Presumably you
want to look at the residuals.


On Mon, Apr 2, 2012 at 7:42 PM, D. Demetriou <> wrote:
> 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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