Testing the Central Limit Theorem using sdist for Panel Data

[Robin Klomp]

Dear Stata Community,

as a robustness check, I would like to take samples to prove that the central limit theorem applies. I came across the user-created command sdist (shortly explained in another post: https://www.statalist.org/forums/for...ailavle-on-ssc. However, it is unclear to me whether I can use this command on panel data and if so, what I need to take into consideration.

Thank you in advance for your help!

Best,
Robin

[Robin Klomp]

deleted additional question because I found the answer

[Carlo Lazzaro]

Robin:
robustness is at risk of sounding meaningless if the researcher doesn't define against what.
Whem it comes to panel data regression, I would be much more concerned about endogeneity in its various forms along with the misspecification of the functional form of the regressand (see -linktest- entry for more details).