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  • #1

    Data Normality in Stata

    Hi everyone, I have a question to ask.

    Here is my case, I have about 90 companies' data (from 2014 to 2019). The companies are from different industries.

    So, for data normality tests, do I need to do it for overall data (combine data) or do I need to test it for each company and by each year? I am a bit confused. Hope somebody could help and assist me on this.

    Thank you.
    Tags: None
  • #2
    Kathy:
    the fact that you need to test for normality (with seemingly no other research goals) is also confusing.
    Please give interested listers some more details about what you're after. Thanks.
    Kind regards,
    Carlo
    (StataNow 18.5)
    • 1 like

    Comment

    • #3
      Hi Carlo,

      Thank you for replying.

      My research goal is to find the impact of dividend announcement on share price and liquidity (bid-ask spread).

      Here is my raw data for one of the companies for the year 2019:
      Company 2019
      Announcement Date Est./Event Window Date Date Market Price Rmt Stock Price R %Stock %Market ER AR Bid Price Ask Price
      CRESBLD 30-Apr-19 61 1-Aug-19 1-Aug-19 1639.06706 0.00257 1.05 0.0000 0.0000 0.0026 0.0072 (0.0072) 1.03 1.05
      60 31-Jul-19 31-Jul-19 1634.86517 -0.00477 1.05 (0.0189) (0.0187) (0.0048) (0.0019) (0.0170) 1.04 1.05
      59 29-Jul-19 29-Jul-19 1642.68923 -0.00320 1.07 (0.0093) (0.0093) (0.0032) 0.0001 (0.0094) 1.05 1.07
      58 26-Jul-19 26-Jul-19 1647.96245 -0.00522 1.08 0.0000 0.0000 (0.0052) (0.0024) 0.0024 1.07 1.08
      57 25-Jul-19 25-Jul-19 1656.58391 0.00252 1.08 0.0282 0.0286 0.0025 0.0071 0.0211 1.08 1.09
      56 24-Jul-19 24-Jul-19 1652.41200 -0.00197 1.05 0.0096 0.0096 (0.0020) 0.0016 0.0080 1.04 1.05
      55 23-Jul-19 23-Jul-19 1655.66925 0.00016 1.04 (0.0096) (0.0095) 0.0002 0.0042 (0.0138) 1.04 1.05
      54 22-Jul-19 22-Jul-19 1655.39698 -0.00169 1.05 0.0000 0.0000 (0.0017) 0.0019 (0.0019) 1.04 1.05
      53 19-Jul-19 19-Jul-19 1658.18952 0.00560 1.05 (0.0095) (0.0094) 0.0056 0.0109 (0.0204) 1.04 1.05
      52 18-Jul-19 18-Jul-19 1648.92563 -0.00521 1.06 0.0000 0.0000 (0.0052) (0.0024) 0.0024 1.05 1.06
      51 17-Jul-19 17-Jul-19 1657.53114 -0.00686 1.06 0.0190 0.0192 (0.0068) (0.0044) 0.0235 1.05 1.06
      50 16-Jul-19 16-Jul-19 1668.93918 -0.00205 1.04 (0.0096) (0.0095) (0.0021) 0.0015 (0.0110) 1.03 1.04
      49 15-Jul-19 15-Jul-19 1672.36831 0.00175 1.05 0.0000 0.0000 0.0017 0.0061 (0.0061) 1.04 1.05
      48 12-Jul-19 12-Jul-19 1669.44883 -0.00586 1.05 (0.0189) (0.0187) (0.0058) (0.0032) (0.0157) 1.05 1.06
      47 11-Jul-19 11-Jul-19 1679.25721 0.00017 1.07 (0.0546) (0.0531) 0.0002 0.0042 (0.0588) 1.06 1.07
      46 10-Jul-19 10-Jul-19 1678.97279 -0.00232 1.13 0.0089 0.0089 (0.0023) 0.0011 0.0077 1.12 1.13
      45 9-Jul-19 9-Jul-19 1682.87056 0.00311 1.12 0.0000 0.0000 0.0031 0.0078 (0.0078) 1.11 1.12
      44 8-Jul-19 8-Jul-19 1677.63755 -0.00291 1.12 (0.0089) (0.0088) (0.0029) 0.0004 (0.0093) 1.11 1.12
      43 5-Jul-19 5-Jul-19 1682.52855 -0.00294 1.13 0.0089 0.0089 (0.0029) 0.0004 0.0085 1.11 1.13
      42 4-Jul-19 4-Jul-19 1687.48177 -0.00152 1.12 0.0090 0.0090 (0.0015) 0.0021 0.0068 1.12 1.13
      41 3-Jul-19 3-Jul-19 1690.04643 -0.00056 1.11 0.0000 0.0000 (0.0006) 0.0033 (0.0033) 1.11 1.12
      40 2-Jul-19 2-Jul-19 1690.99623 0.00437 1.11 0.0274 0.0278 0.0044 0.0094 0.0180 1.10 1.11
      39 1-Jul-19 1-Jul-19 1683.62424 0.00685 1.08 (0.0092) (0.0092) 0.0069 0.0124 (0.0216) 1.08 1.09
      38 28-Jun-19 28-Jun-19 1672.12849 -0.00034 1.09 0.0092 0.0093 (0.0003) 0.0036 0.0056 1.08 1.09
      37 27-Jun-19 27-Jun-19 1672.69907 -0.00107 1.08 0.0093 0.0093 (0.0011) 0.0027 0.0066 1.07 1.08
      36 26-Jun-19 26-Jun-19 1674.48565 -0.00127 1.07 (0.0093) (0.0093) (0.0013) 0.0024 (0.0117) 1.06 1.08
      35 25-Jun-19 25-Jun-19 1676.61245 0.00029 1.08 (0.0092) (0.0092) 0.0003 0.0044 (0.0136) 1.07 1.08
      34 24-Jun-19 24-Jun-19 1676.13394 -0.00363 1.09 (0.0091) (0.0091) (0.0036) (0.0005) (0.0087) 1.08 1.09
      33 21-Jun-19 21-Jun-19 1682.22563 0.00404 1.10 0.0000 0.0000 0.0041 0.0090 (0.0090) 1.09 1.10
      32 20-Jun-19 20-Jun-19 1675.43498 0.00532 1.10 0.0277 0.0280 0.0053 0.0105 0.0171 1.09 1.10
      31 19-Jun-19 19-Jun-19 1666.53766 0.00830 1.07 (0.0093) (0.0093) 0.0083 0.0142 (0.0235) 1.07 1.08
      30 18-Jun-19 18-Jun-19 1652.75957 0.00872 1.08 0.0000 0.0000 0.0088 0.0147 (0.0147) 1.07 1.08
      29 17-Jun-19 17-Jun-19 1638.40345 -0.00014 1.08 (0.0092) (0.0092) (0.0001) 0.0038 (0.0131) 1.07 1.08
      28 14-Jun-19 14-Jun-19 1638.62512 -0.00312 1.09 (0.0182) (0.0180) (0.0031) 0.0002 (0.0183) 1.08 1.09
      27 13-Jun-19 13-Jun-19 1643.74328 -0.00424 1.11 0.0274 0.0278 (0.0042) (0.0012) 0.0286 1.10 1.11
      26 12-Jun-19 12-Jun-19 1650.73544 -0.00028 1.08 0.0187 0.0189 (0.0003) 0.0037 0.0150 1.07 1.08
      25 11-Jun-19 11-Jun-19 1651.19732 -0.00259 1.06 0.0000 0.0000 (0.0026) 0.0008 (0.0008) 1.06 1.07
      24 10-Jun-19 10-Jun-19 1655.47437 0.00372 1.06 0.0095 0.0095 0.0037 0.0086 0.0009 1.06 1.07
      23 7-Jun-19 7-Jun-19 1649.33258 0.00318 1.05 0.0192 0.0194 0.0032 0.0079 0.0113 1.04 1.05
      22 4-Jun-19 4-Jun-19 1644.09344 -0.00680 1.03 (0.0192) (0.0190) (0.0068) (0.0044) (0.0149) 1.03 1.05
      21 3-Jun-19 3-Jun-19 1655.30991 0.00275 1.05 0.0000 0.0000 0.0028 0.0074 (0.0074) 1.04 1.05
      20 31-May-19 31-May-19 1650.76107 0.00868 1.05 (0.0189) (0.0187) 0.0087 0.0147 (0.0335) 1.05 1.07
      19 30-May-19 30-May-19 1636.50258 0.00787 1.07 0.0094 0.0094 0.0079 0.0137 (0.0043) 1.07 1.08
      18 29-May-19 29-May-19 1623.66821 0.00562 1.06 0.0287 0.0291 0.0056 0.0109 0.0178 1.06 1.07
      17 28-May-19 28-May-19 1614.56644 0.00822 1.03 (0.0097) (0.0096) 0.0083 0.0141 (0.0238) 1.02 1.05
      16 27-May-19 27-May-19 1601.35209 0.00189 1.04 0.0097 0.0097 0.0019 0.0063 0.0033 1.03 1.04
      15 24-May-19 24-May-19 1598.32375 -0.00221 1.03 0.0000 0.0000 (0.0022) 0.0013 (0.0013) 1.02 1.03
      14 23-May-19 23-May-19 1601.86685 -0.00117 1.03 0.0000 0.0000 (0.0012) 0.0026 (0.0026) 1.01 1.03
      13 21-May-19 21-May-19 1603.73789 -0.00101 1.03 (0.0097) (0.0096) (0.0010) 0.0028 (0.0124) 1.03 1.05
      12 17-May-19 17-May-19 1605.36065 0.00385 1.04 (0.0190) (0.0189) 0.0039 0.0087 (0.0278) 1.04 1.05
      11 16-May-19 16-May-19 1599.18815 -0.00762 1.06 (0.0094) (0.0093) (0.0076) (0.0054) (0.0040) 1.05 1.06
      10 15-May-19 15-May-19 1611.42788 0.00762 1.07 0.0094 0.0094 0.0077 0.0134 (0.0040) 1.05 1.07
      9 14-May-19 14-May-19 1599.19021 -0.00119 1.06 0.0190 0.0192 (0.0012) 0.0025 0.0165 1.05 1.06
      8 13-May-19 13-May-19 1601.09213 -0.00572 1.04 (0.0377) (0.0370) (0.0057) (0.0030) (0.0347) 1.03 1.04
      7 10-May-19 10-May-19 1610.27282 -0.00512 1.08 (0.0183) (0.0182) (0.0051) (0.0023) (0.0161) 1.07 1.09
      6 9-May-19 9-May-19 1618.53186 -0.00923 1.10 0.0183 0.0185 (0.0092) (0.0074) 0.0257 1.09 1.10
      5 8-May-19 8-May-19 1633.54799 -0.00356 1.08 (0.0183) (0.0182) (0.0036) (0.0004) (0.0180) 1.08 1.09
      4 7-May-19 7-May-19 1639.37188 0.00402 1.10 0.0183 0.0185 0.0040 0.0089 0.0094 1.08 1.10
      3 6-May-19 6-May-19 1632.80024 -0.00275 1.08 (0.0274) (0.0270) (0.0028) 0.0006 (0.0280) 1.07 1.08
      2 3-May-19 3-May-19 1637.3033 0.00310 1.11 0.0000 0.0000 0.0031 0.0078 (0.0078) 1.10 1.11
      1 2-May-19 2-May-19 1632.23886 -0.00614 1.11 (0.0090) (0.0089) (0.0061) (0.0035) (0.0054) 1.10 1.11
      30-Apr-19 0 30-Apr-19 30-Apr-19 1642.28843 0.00298 1.12 (0.0177) (0.0175) 0.0030 0.0077 (0.0254) 1.12 1.13
      -1 29-Apr-19 29-Apr-19 1637.40128 -0.00060 1.14 0.0088 0.0088 (0.0006) 0.0033 0.0055 1.12 1.14
      -2 26-Apr-19 26-Apr-19 1638.37995 0.00165 1.13 0.0000 0.0000 0.0017 0.0060 (0.0060) 1.12 1.13
      -3 25-Apr-19 25-Apr-19 1635.67895 -0.00142 1.13 0.0089 0.0089 (0.0014) 0.0023 0.0066 1.12 1.13
      -4 24-Apr-19 24-Apr-19 1638.00664 0.00647 1.12 0.0090 0.0090 0.0065 0.0120 (0.0030) 1.11 1.12
      -5 23-Apr-19 23-Apr-19 1627.4432 0.00332 1.11 (0.0179) (0.0177) 0.0033 0.0081 (0.0259) 1.11 1.13
      -6 22-Apr-19 22-Apr-19 1622.05638 -0.00001 1.13 0.0360 0.0367 (0.0000) 0.0040 0.0320 1.13 1.14
      -7 19-Apr-19 19-Apr-19 1622.06854 0.00144 1.09 0.0000 0.0000 0.0014 0.0058 (0.0058) 1.09 1.10
      -8 18-Apr-19 18-Apr-19 1619.73477 -0.00072 1.09 0.0279 0.0283 (0.0007) 0.0031 0.0248 1.08 1.09
      -9 17-Apr-19 17-Apr-19 1620.90464 -0.00526 1.06 (0.0279) (0.0275) (0.0052) (0.0025) (0.0254) 1.06 1.07
      -10 16-Apr-19 16-Apr-19 1629.4572 -0.00115 1.09 0.0000 0.0000 (0.0011) 0.0026 (0.0026) 1.09 1.10
      -11 15-Apr-19 15-Apr-19 1631.33047 0.00071 1.09 (0.0272) (0.0268) 0.0007 0.0049 (0.0320) 1.09 1.10
      -12 12-Apr-19 12-Apr-19 1630.16701 0.00365 1.12 0.0000 0.0000 0.0037 0.0085 (0.0085) 1.11 1.12
      -13 11-Apr-19 11-Apr-19 1624.23053 -0.00933 1.12 (0.0264) (0.0261) (0.0093) (0.0075) (0.0190) 1.12 1.13
      -14 10-Apr-19 10-Apr-19 1639.46133 -0.00151 1.15 0.0175 0.0177 (0.0015) 0.0021 0.0154 1.13 1.15
      -15 9-Apr-19 9-Apr-19 1641.93654 -0.00147 1.13 (0.0088) (0.0088) (0.0015) 0.0022 (0.0110) 1.13 1.14
      -16 8-Apr-19 8-Apr-19 1644.35271 0.00155 1.14 0.0267 0.0270 0.0015 0.0059 0.0208 1.13 1.14
      -17 5-Apr-19 5-Apr-19 1641.80833 -0.00199 1.11 0.0090 0.0091 (0.0020) 0.0016 0.0075 1.09 1.11
      -18 4-Apr-19 4-Apr-19 1645.07083 0.00113 1.10 (0.0180) (0.0179) 0.0011 0.0054 (0.0234) 1.10 1.12
      -19 3-Apr-19 3-Apr-19 1643.21004 0.00633 1.12 0.0000 0.0000 0.0064 0.0118 (0.0118) 1.11 1.12
      -20 2-Apr-19 2-Apr-19 1632.83494 0.00256 1.12 (0.0089) (0.0088) 0.0026 0.0071 (0.0160) 1.12 1.13
      -21 1-Apr-19 1-Apr-19 1628.66183 -0.00915 1.13 0.0000 0.0000 (0.0091) (0.0072) 0.0072 1.12 1.13
      -22 29-Mar-19 29-Mar-19 1643.62533 0.00140 1.13 0.0089 0.0089 0.0014 0.0057 0.0032 1.12 1.13
      -23 28-Mar-19 28-Mar-19 1641.32506 -0.00085 1.12 0.0364 0.0370 (0.0009) 0.0029 0.0334 1.12 1.13
      -24 27-Mar-19 27-Mar-19 1642.72735 -0.00438 1.08 (0.0364) (0.0357) (0.0044) (0.0014) (0.0350) 1.08 1.11
      -25 26-Mar-19 26-Mar-19 1649.94165 0.00048 1.12 0.0272 0.0275 0.0005 0.0046 0.0226 1.11 1.12
      -26 25-Mar-19 25-Mar-19 1649.14617 -0.01056 1.09 (0.0708) (0.0684) (0.0105) (0.0090) (0.0618) 1.09 1.10
      -27 22-Mar-19 22-Mar-19 1666.65507 0.00180 1.17 0.0000 0.0000 0.0018 0.0062 (0.0062) 1.16 1.17
      -28 21-Mar-19 21-Mar-19 1663.65592 -0.01228 1.17 0.0172 0.0174 (0.0122) (0.0111) 0.0283 1.17 1.18
      -29 20-Mar-19 20-Mar-19 1684.21376 -0.00205 1.15 0.0175 0.0177 (0.0021) 0.0015 0.0161 1.14 1.15
      -30 19-Mar-19 19-Mar-19 1687.67519 -0.00193 1.13 (0.0348) (0.0342) (0.0019) 0.0016 (0.0364) 1.13 1.14
      -31 18-Mar-19 18-Mar-19 1690.94325 0.00617 1.17 0.1178 0.1250 0.0062 0.0116 0.1062 1.17 1.18
      -32 15-Mar-19 15-Mar-19 1680.53664 0.00359 1.04 0.0000 0.0000 0.0036 0.0084 (0.0084) 1.04 1.05
      -33 14-Mar-19 14-Mar-19 1674.51827 -0.00222 1.04 0.0000 0.0000 (0.0022) 0.0013 (0.0013) 1.04 1.05
      -34 13-Mar-19 13-Mar-19 1678.23564 0.00415 1.04 0.0097 0.0097 0.0042 0.0091 0.0006 1.03 1.05
      -35 12-Mar-19 12-Mar-19 1671.28411 0.00399 1.03 (0.0192) (0.0190) 0.0040 0.0089 (0.0281) 1.02 1.03
      -36 11-Mar-19 11-Mar-19 1664.62725 -0.00914 1.05 0.0488 0.0500 (0.0091) (0.0072) 0.0560 1.03 1.05
      -37 8-Mar-19 8-Mar-19 1679.90413 -0.00418 1.00 0.0151 0.0152 (0.0042) (0.0011) 0.0163 1.00 1.01
      -38 7-Mar-19 7-Mar-19 1686.94885 0.00007 0.99 0.0051 0.0051 0.0001 0.0041 0.0010 0.99 0.99
      -39 6-Mar-19 6-Mar-19 1686.82266 0.00071 0.98 0.0051 0.0051 0.0007 0.0049 0.0002 0.98 0.98
      -40 5-Mar-19 5-Mar-19 1685.62289 -0.00495 0.98 (0.0153) (0.0152) (0.0049) (0.0021) (0.0132) 0.97 0.98
      -41 4-Mar-19 4-Mar-19 1693.9889 -0.00399 0.99 0.0000 0.0000 (0.0040) (0.0009) 0.0009 0.98 0.99
      -42 1-Mar-19 1-Mar-19 1700.75854 -0.00409 0.99 0.0000 0.0000 (0.0041) (0.0010) 0.0010 0.99 0.99
      -43 28-Feb-19 28-Feb-19 1707.72671 -0.00335 0.99 (0.0101) (0.0100) (0.0033) (0.0001) (0.0099) 0.99 1.00
      -44 27-Feb-19 27-Feb-19 1713.451 -0.00323 1.00 0.0202 0.0204 (0.0032) 0.0000 0.0202 1.00 1.01
      -45 26-Feb-19 26-Feb-19 1718.99847 -0.00324 0.98 (0.0051) (0.0051) (0.0032) 0.0000 (0.0051) 0.98 0.98
      -46 25-Feb-19 25-Feb-19 1724.58449 0.00184 0.99 0.0051 0.0051 0.0018 0.0063 (0.0012) 0.98 0.99
      -47 22-Feb-19 22-Feb-19 1721.42226 -0.00537 0.98 (0.0102) (0.0101) (0.0054) (0.0026) (0.0076) 0.98 0.99
      -48 21-Feb-19 21-Feb-19 1730.68382 0.00260 0.99 0.0051 0.0051 0.0026 0.0072 (0.0021) 0.99 0.99
      -49 20-Feb-19 20-Feb-19 1726.18435 0.01143 0.99 0.0051 0.0051 0.0115 0.0181 (0.0130) 0.98 1.00
      -50 19-Feb-19 19-Feb-19 1706.56189 0.00813 0.98 (0.0152) (0.0151) 0.0082 0.0140 (0.0292) 0.98 0.98
      -51 18-Feb-19 18-Feb-19 1692.7449 0.00232 1.00 0.0463 0.0474 0.0023 0.0069 0.0394 0.99 1.00
      -52 15-Feb-19 15-Feb-19 1688.82537 -0.00014 0.95 0.0106 0.0106 (0.0001) 0.0038 0.0068 0.95 0.95
      -53 14-Feb-19 14-Feb-19 1689.0609 0.00223 0.94 0.0053 0.0053 0.0022 0.0067 (0.0014) 0.94 0.94
      -54 13-Feb-19 13-Feb-19 1685.29877 -0.00125 0.94 0.0162 0.0163 (0.0012) 0.0025 0.0137 0.93 0.94
      -55 12-Feb-19 12-Feb-19 1687.40676 -0.00068 0.92 0.0054 0.0055 (0.0007) 0.0032 0.0023 0.92 0.93
      -56 11-Feb-19 11-Feb-19 1688.5598 0.00121 0.92 0.0055 0.0055 0.0012 0.0055 (0.0000) 0.91 0.92
      -57 8-Feb-19 8-Feb-19 1686.5228 -0.00407 0.91 0.0000 0.0000 (0.0041) (0.0010) 0.0010 0.91 0.91
      -58 7-Feb-19 7-Feb-19 1693.39375 0.00580 0.91 0.0166 0.0168 0.0058 0.0111 0.0055 0.90 0.91
      -59 4-Feb-19 4-Feb-19 1683.60762 0.00004 0.90 0.0169 0.0170 0.0000 0.0041 0.0128 0.89 0.90
      -60 31-Jan-19 31-Jan-19 1683.5336 -0.00034 0.88 0.0057 0.0057 (0.0003) 0.0036 0.0021 0.88 0.88


      I have about 88 companies, all from 8 different industries.

      My question is how do I find the data normality? Do I need to separately test the data normality for each company and by each year?

      Let me know if you need more details. I am new to Stata and this is my first time using Stata.

      Thank you very much.

      Kathy.
      Last edited by Kathy Kim; 06 Mar 2022, 02:29.

      Comment

      • #4
        Kathy:
        you seem to have a panel data with repeated time values within each panel.
        Hence, you have to -xtset- your data with -panelid- (-firm-?) only.
        Normality is a (weak) requirements of the -u- and -e- components of the panel residual.
        Testing for their normality is basically unhelpful.
        Kind regards,
        Carlo
        (StataNow 18.5)
        • 2 likes

        Comment

        • #5
          Thanks Carlo for the response. Will try my best to figure this out.

          Comment

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