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I am testing the OLS assumptions and I got the following normal P-P plot. Does it look normally distributed or not?

enter image description here

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  • $\begingroup$ How many data points is that, 140? 150? How many predictors? $\endgroup$ – Glen_b -Reinstate Monica Sep 13 '15 at 0:10
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This looks fine to me, as far as that goes. What you are most concerned about is the tails of your distribution, and pp-plots don't show those very well. QQ-plots do better; see: PP-plots vs. QQ-plots.

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There are formal tests for normality- in particular the Jarque-Bera/Skewness-Kurtosis type tests.

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    $\begingroup$ Jarque-Bera as I have seen it implemented uses asymptotic results for every sample size, a very bad idea as the convergence of sample skewness and kurtosis to normality is very slow indeed. $\endgroup$ – Nick Cox Nov 3 '15 at 19:21
  • $\begingroup$ is a K-S test better? $\endgroup$ – ChinG Nov 3 '15 at 19:29
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    $\begingroup$ Not to me. Almost none of these tests can possibly compare with a Q-Q plot, which shows you how much and where data depart from normality. A K-S test is arguably most sensitive in the middle of the distribution, precisely where departures are least important. Cf. @gung's comments. $\endgroup$ – Nick Cox Nov 3 '15 at 19:32

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