Hi, I tried to estimate a vector error correction model, but unfortunately, when I ran some postestimation diagnostic tests such as Jacque-Bera test, it turned out that my errors are not normally distributed. Does anyone know how to deal with this? I mean, I assume if the errors aren't normally distribution, inference from my regression results is invalid. Also, my errors are skewed and the kurtosis test null was rejected as well.
thank you for any suggestibas ro how to handle non normally distributed residuals in a vec model
thank you for any suggestibas ro how to handle non normally distributed residuals in a vec model