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Distribution data

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Dear all,

From some graphs and some numerical tests, I have showed that my data is not normally distributed. I can check if the distribution of my data looks like a Weibull distribution, exponential distribution, lognormal distribution, for instance. However, I was wondering: why do I want to know the distribution of my data? Do I need to know it for estimating and testing slope coefficients? Or is there another reason why I should know it.

The reason why I am asking is that my supervisor asks for an empirical distribution of my dependent variable in a regression model. But I just wanted to know why?

Thank you,

Best regards

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