Hi Startz,
Your point of J-B statistic being highly significant makes sense (my sample is like 1500 data points).
For autocorrelation, I find p values of 0.0000 for autocorrelation up to lags 8. So incorporating 2nd lag will not really remove autocorrelation. Can you suggest something
Thanks
Raj
Search found 2 matches
- Mon Mar 02, 2009 4:46 pm
- Forum: Econometric Discussions
- Topic: non normal residuals in VAR
- Replies: 4
- Views: 23271
- Mon Mar 02, 2009 2:39 pm
- Forum: Econometric Discussions
- Topic: non normal residuals in VAR
- Replies: 4
- Views: 23271
non normal residuals in VAR
Hi, I have formed a VAR equation consisting of 16 variables going upto lag 1. 1. All the roots of the characteristic polynomial are within unit circle => VAR specification is stationary. GOOD 2. Its residuals are extremely non-normal with p-values 0.0000 when looking at the Jarque Bera statistic aft...