VAR residual normality tests
| Orthogonalization: Cholesky (Lutkepohl) | ||||
|---|---|---|---|---|
| Null hypothesis: residuals are multivariate normal | ||||
| Sample: 2018–2021 | ||||
| Included observations: 1,071 | ||||
| Component | Skewness | Chi-sq | df | Prob |
| 1 | −0.092948 | 1.542134 | 1 | 0.2143 |
| 2 | 0.063931 | 0.729552 | 1 | 0.3930 |
| 3 | 0.227863 | 9.268030 | 1 | 0.0023 |
| 4 | 0.090722 | 1.469148 | 1 | 0.2255 |
| Joint | 13.00886 | 4 | 0.0112 | |
| Orthogonalization: Cholesky (Lutkepohl) | ||||
|---|---|---|---|---|
| Null hypothesis: residuals are multivariate normal | ||||
| Sample: 2018–2021 | ||||
| Included observations: 1,071 | ||||
| Component | Skewness | Chi-sq | df | Prob |
| 1 | −0.092948 | 1.542134 | 1 | 0.2143 |
| 2 | 0.063931 | 0.729552 | 1 | 0.3930 |
| 3 | 0.227863 | 9.268030 | 1 | 0.0023 |
| 4 | 0.090722 | 1.469148 | 1 | 0.2255 |
| Joint | 13.00886 | 4 | 0.0112 | |
| Component | Kurtosis | Chi-sq | df | Prob |
|---|---|---|---|---|
| 1 | 4.123189 | 56.29680 | 1 | 0.0000 |
| 2 | 4.006250 | 45.18456 | 1 | 0.0000 |
| 3 | 5.867968 | 367.0514 | 1 | 0.0000 |
| 4 | 532.4405 | 12,508,709 | 1 | 0.0000 |
| Joint | 12,509,177 | 4 | 0.0000 |
| Component | Kurtosis | Chi-sq | df | Prob |
|---|---|---|---|---|
| 1 | 4.123189 | 56.29680 | 1 | 0.0000 |
| 2 | 4.006250 | 45.18456 | 1 | 0.0000 |
| 3 | 5.867968 | 367.0514 | 1 | 0.0000 |
| 4 | 532.4405 | 12,508,709 | 1 | 0.0000 |
| Joint | 12,509,177 | 4 | 0.0000 |
| Component | Jarque–Bera | df | Prob |
|---|---|---|---|
| 1 | 57.83893 | 2 | 0.0000 |
| 2 | 45.91411 | 2 | 0.0000 |
| 3 | 376.3194 | 2 | 0.0000 |
| 4 | 12,508,710 | 2 | 0.0000 |
| Joint | 12,509,190 | 8 | 0.0000 |
| Component | Jarque–Bera | df | Prob |
|---|---|---|---|
| 1 | 57.83893 | 2 | 0.0000 |
| 2 | 45.91411 | 2 | 0.0000 |
| 3 | 376.3194 | 2 | 0.0000 |
| 4 | 12,508,710 | 2 | 0.0000 |
| Joint | 12,509,190 | 8 | 0.0000 |
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