Hi everyone,
my VAR Residual normality test shows non-normality for component 1 and 2 as well as joint.
The model is a VAR with 2 dependent (stock price and sentiment measure) and 5 independent variables (DAX, IMX, industry turnover, wages, unemployment).
Is this a problem and if yes what are the implications and how to proceed? Or is this test unnecessary anyways?
Thank you for your advice!
Best,
Franziska