Does vector autoregression (VAR) model require data to be of normal distribution? What are the pitfalls if the residuals are not of normal distribution?
Thank you. From what I understood for linear regression Yi = b0 + b1*Xi + ei,
1) b1 ~ N( ) requires Yi ~ N( ).
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"
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?