error distributin test

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

tg128
Posts: 18
Joined: Mon Sep 22, 2008 1:10 pm

error distributin test

Postby tg128 » Sun Sep 28, 2008 2:04 pm

I have selected the "normal" option for the error distibution when estimate ARCH, however, I cannot find any results regarding to normal distribution from the equation window, how can I tell if the residuals from the my model is normally distributed or not please?

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: error distributin test

Postby startz » Sun Sep 28, 2008 2:41 pm

tg128 wrote:I have selected the "normal" option for the error distibution when estimate ARCH, however, I cannot find any results regarding to normal distribution from the equation window, how can I tell if the residuals from the my model is normally distributed or not please?


Look at the Jarque-Bera statistic to the right of the histogram.

tg128
Posts: 18
Joined: Mon Sep 22, 2008 1:10 pm

Re: error distributin test

Postby tg128 » Sun Sep 28, 2008 3:56 pm

startz wrote:
tg128 wrote:I have selected the "normal" option for the error distibution when estimate ARCH, however, I cannot find any results regarding to normal distribution from the equation window, how can I tell if the residuals from the my model is normally distributed or not please?


Look at the Jarque-Bera statistic to the right of the histogram.


but that's not from the ARCH test window itself, you have to conduct another test by using 'view' ... if I selected t-distribution, i will have a row of t-distribution statistic results shown, I find nothing when I use 'normal distribution' option...

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: error distributin test

Postby startz » Sun Sep 28, 2008 5:55 pm

tg128 wrote:
startz wrote:
tg128 wrote:I have selected the "normal" option for the error distibution when estimate ARCH, however, I cannot find any results regarding to normal distribution from the equation window, how can I tell if the residuals from the my model is normally distributed or not please?


Look at the Jarque-Bera statistic to the right of the histogram.


but that's not from the ARCH test window itself, you have to conduct another test by using 'view' ... if I selected t-distribution, i will have a row of t-distribution statistic results shown, I find nothing when I use 'normal distribution' option...


You are choosing the distributional assumption for the error. I believe the row you are seeing is the estimated degrees of freedom. It's not a test of the distributional assumption.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 73 guests