If the residuals contain pulses or level shifts this can lead to "non-normality" . Try detecting Interventions and add them as necessary. Another way residuals can exhibit non-normality is id there is a deterministic change in error variance suggesting Weighted Least Squares OR if the model's parameters are not constant over time suggesting data segmentation..

If the residuals contain pulses or level shifts this can lead to "non-normality" . Try detecting Interventions and add them as necessary. Another way residuals can exhibit non-normality is if there is a deterministic change in error variance suggesting Weighted Least Squares OR if the model's parameters are not constant over time suggesting data segmentation..