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

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