I am running a regression using panel data and 366 observations and Jarque-Bera statistic is around 70 with Prob = 0.000 which means that the residuals are NOT normally distributed. Is this a problem????
Thanks :D
NON normality of residuals in panel data
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startz
- Non-normality and collinearity are NOT problems!
- Posts: 3798
- Joined: Wed Sep 17, 2008 2:25 pm
Re: NON normality of residuals in panel data
Probably not. Normality of the errors isn't important for much of anything in a regression.
Re: NON normality of residuals in panel data
just for
coef and p value
Adjusted R-squared is ok
F-statistic is ok
Prob(F-statistic) is ok
White heterosced. test is ok
correlation is ok
coef and p value
Adjusted R-squared is ok
F-statistic is ok
Prob(F-statistic) is ok
White heterosced. test is ok
correlation is ok
-
startz
- Non-normality and collinearity are NOT problems!
- Posts: 3798
- Joined: Wed Sep 17, 2008 2:25 pm
Re: NON normality of residuals in panel data
Non-normality is not a problem for the coefficient and is unlikely to be a problem for the p-value unless the data is extremely non-normal or you have a very small sample.just for
coef and p value
Adjusted R-squared is ok
F-statistic is ok
Prob(F-statistic) is ok
White heterosced. test is ok
correlation is ok
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