VAR Residual Normality Tests

Orthogonalization: Cholesky (Lutkepohl)

Null Hypothesis: residuals are multivariate normal

Date: 09/08/20 Time: 18:19

Sample: 1970 2018

Included observations: 33

Component

Skewness

Chi-sq

Df

Prob.

1

0.385194

0.816061

1

0.3663

2

0.434950

1.040498

1

0.3077

3

0.609470

2.042997

1

0.1529

4

0.208263

0.238554

1

0.6253

5

−2.809756

43.42100

1

0.0000

6

0.428216

1.008529

1

0.3153

Joint

48.56764

6

0.0000

Component

Kurtosis

Chi−sq

Df

Prob.

1

5.400991

7.926541

1

0.0049

2

3.073972

0.007524

1

0.9309

3

2.999766

7.50E−08

1

0.9998

4

2.412900

0.473944

1

0.4912

5

13.41266

149.0824

1

0.0000

6

2.876570

0.020948

1

0.8849

Joint

157.5114

6

0.0000

Component

Jarque-Bera

Df

Prob.

1

8.742603

2

0.0126

2

1.048022

2

0.5921

3

2.042997

2

0.3601

4

0.712498

2

0.7003

5

192.5034

2

0.0000

6

1.029477

2

0.5977

Joint

206.0790

12

0.0000