Normality in VAR:
As far as I know:
1. Normality is NOT needed when Granger causality analysis of VAR and Impulse -Response of VAR
2. Normality IS important when testing cointegration via Johansen tests in constructing Likelihood Function.
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- Thu Oct 31, 2013 2:53 am
- Forum: Econometric Discussions
- Topic: Problem with VAR model (Normality test)
- Replies: 1
- Views: 2699