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 |
|