Is it okay that my Non-Linear ARDL model has non-normality?

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SLeRoux
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Joined: Mon Nov 11, 2019 2:20 am

Is it okay that my Non-Linear ARDL model has non-normality?

Postby SLeRoux » Wed May 20, 2020 4:32 am

Hi, I am currently trying to study price asymmetry using the non-linear ARDL model.

My model has no serial correlation, stability is good and no heteroscedasticity.

However, I still have non-normality in the model. Is this an issue for the non-linear NARDL or something that is to be expected?

Any guidance and readings related to whether I should be worried about non normality or not would be greatly appreciated.

Please forgive me as I am completely new to non-linear models.

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