error distributin test
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error distributin test
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?
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- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: error distributin test
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.
Re: error distributin test
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...
-
- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: error distributin test
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.
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