EViews.com

Posted: **Thu Nov 11, 2010 11:51 am**

Hi!

I ran a VECM model in eviews 7.1 and when I test for multivariate normality the Ho cannot be rejected at conventional significance levels, BUT when I do the same tests (Cholesky, Doornik-Hansen and Urzua) in Eviews 6, the null was strongly rejected !!!

Is there a problem in eviews 7.1 or eviews 6? Whats the source of the difference?

Posted: **Thu Nov 11, 2010 12:23 pm**

Your EViews 6 is probably out of date. When I run them in my version 6, they match those in version 7. There was a change made to the VAR normality tests in October 2008 to change the degree of freedom correction used.

EViews.com

Multivariate Normality test: different results!

Multivariate Normality test: different results!

Re: Multivariate Normality test: different results!