Do data and residuals of a VAR model have to be of normal distribution?

Question

Does vector autoregression (VAR) model require data to be of normal distribution? What are the pitfalls if the residuals are not of normal distribution?

Answer 1

Thank you. From what I understood for linear regression Yi = b0 + b1*Xi + ei,

1) b1 ~ N( ) requires Yi ~ N( ).

a) Thus, I don't need Xi to be normal. 

b) And Yi not being normal => b1 not normal

If I only want to get the coefficients but are not using the p-values, I don't need Yi to be normal.

2) a) E(ei) = 0 and "ei have constant variance and are uncorrelated"

=> b) E(b1) = beta1; and 

   c) "b1 has minimum variance among all unbiased linear estimators of beta1"

If I don't need (2b) and (2c), I don't need (2a).

Am I right?

P.S. Does anyone know how to get the p-values of the coefficients if I am using mAr.est() in R?