Testing for skewness and kurtosis in the one-way error components model

Autores
Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; Wang, Liang
Año de publicación
2013
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
This paper derives tests for skewness and kurtosis for the panel data one-way error component model. The test statistics are based on the between and within transformations of the pooled OLS residuals, and are derived in a moment conditions framework. We establish the limiting distribution of the test statistics for panels with large cross-section and fixed time-series dimension. The tests are implemented in practice using the bootstrap. The proposed methods are able to detect departures away from normality in the form of skewness and kurtosis, and to identify whether these occur at the individual, remainder, or both error components. The finite sample properties of the tests are studied through extensive Monte Carlo simulations, and the results show evidence of good finite sample performance.
Fil: Galvao, Antonio F.. University of Iowa; Estados Unidos
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés; Argentina
Fil: Sosa Escudero, Walter. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés; Argentina
Fil: Wang, Liang. University of Wisconsin; Estados Unidos
Materia
ERROR COMPONENTS
KURTOSIS
NORMALITY
PANEL DATA
SKEWNESS
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/88210
Acceder
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network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Testing for skewness and kurtosis in the one-way error components modelGalvao, Antonio F.Montes Rojas, Gabriel VictorioSosa Escudero, WalterWang, LiangERROR COMPONENTSKURTOSISNORMALITYPANEL DATASKEWNESShttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1This paper derives tests for skewness and kurtosis for the panel data one-way error component model. The test statistics are based on the between and within transformations of the pooled OLS residuals, and are derived in a moment conditions framework. We establish the limiting distribution of the test statistics for panels with large cross-section and fixed time-series dimension. The tests are implemented in practice using the bootstrap. The proposed methods are able to detect departures away from normality in the form of skewness and kurtosis, and to identify whether these occur at the individual, remainder, or both error components. The finite sample properties of the tests are studied through extensive Monte Carlo simulations, and the results show evidence of good finite sample performance.Fil: Galvao, Antonio F.. University of Iowa; Estados UnidosFil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés; ArgentinaFil: Sosa Escudero, Walter. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés; ArgentinaFil: Wang, Liang. University of Wisconsin; Estados UnidosElsevier Inc2013-11info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/88210Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; Wang, Liang; Testing for skewness and kurtosis in the one-way error components model; Elsevier Inc; Journal Of Multivariate Analysis; 122; 11-2013; 35-520047-259XCONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0047259X13001346info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jmva.2013.07.002info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T10:11:25Zoai:ri.conicet.gov.ar:11336/88210instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 10:11:26.044CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Testing for skewness and kurtosis in the one-way error components model
title Testing for skewness and kurtosis in the one-way error components model
spellingShingle Testing for skewness and kurtosis in the one-way error components model
Galvao, Antonio F.
ERROR COMPONENTS
KURTOSIS
NORMALITY
PANEL DATA
SKEWNESS
title_short Testing for skewness and kurtosis in the one-way error components model
title_full Testing for skewness and kurtosis in the one-way error components model
title_fullStr Testing for skewness and kurtosis in the one-way error components model
title_full_unstemmed Testing for skewness and kurtosis in the one-way error components model
title_sort Testing for skewness and kurtosis in the one-way error components model
dc.creator.none.fl_str_mv Galvao, Antonio F.
Montes Rojas, Gabriel Victorio
Sosa Escudero, Walter
Wang, Liang
author Galvao, Antonio F.
author_facet Galvao, Antonio F.
Montes Rojas, Gabriel Victorio
Sosa Escudero, Walter
Wang, Liang
author_role author
author2 Montes Rojas, Gabriel Victorio
Sosa Escudero, Walter
Wang, Liang
author2_role author
author
author
dc.subject.none.fl_str_mv ERROR COMPONENTS
KURTOSIS
NORMALITY
PANEL DATA
SKEWNESS
topic ERROR COMPONENTS
KURTOSIS
NORMALITY
PANEL DATA
SKEWNESS
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.1
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv This paper derives tests for skewness and kurtosis for the panel data one-way error component model. The test statistics are based on the between and within transformations of the pooled OLS residuals, and are derived in a moment conditions framework. We establish the limiting distribution of the test statistics for panels with large cross-section and fixed time-series dimension. The tests are implemented in practice using the bootstrap. The proposed methods are able to detect departures away from normality in the form of skewness and kurtosis, and to identify whether these occur at the individual, remainder, or both error components. The finite sample properties of the tests are studied through extensive Monte Carlo simulations, and the results show evidence of good finite sample performance.
Fil: Galvao, Antonio F.. University of Iowa; Estados Unidos
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés; Argentina
Fil: Sosa Escudero, Walter. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Universidad de San Andrés; Argentina
Fil: Wang, Liang. University of Wisconsin; Estados Unidos
description This paper derives tests for skewness and kurtosis for the panel data one-way error component model. The test statistics are based on the between and within transformations of the pooled OLS residuals, and are derived in a moment conditions framework. We establish the limiting distribution of the test statistics for panels with large cross-section and fixed time-series dimension. The tests are implemented in practice using the bootstrap. The proposed methods are able to detect departures away from normality in the form of skewness and kurtosis, and to identify whether these occur at the individual, remainder, or both error components. The finite sample properties of the tests are studied through extensive Monte Carlo simulations, and the results show evidence of good finite sample performance.
publishDate 2013
dc.date.none.fl_str_mv 2013-11
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/88210
Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; Wang, Liang; Testing for skewness and kurtosis in the one-way error components model; Elsevier Inc; Journal Of Multivariate Analysis; 122; 11-2013; 35-52
0047-259X
CONICET Digital
CONICET
url http://hdl.handle.net/11336/88210
identifier_str_mv Galvao, Antonio F.; Montes Rojas, Gabriel Victorio; Sosa Escudero, Walter; Wang, Liang; Testing for skewness and kurtosis in the one-way error components model; Elsevier Inc; Journal Of Multivariate Analysis; 122; 11-2013; 35-52
0047-259X
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0047259X13001346
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jmva.2013.07.002
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier Inc
publisher.none.fl_str_mv Elsevier Inc
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.13397

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