SHAZAM Questions and Answers (Q&A) - RSS feedhttp://community.econometrics.com/questions/SHAZAM Econometrics, Statistics and Analytics Communityen<font color="white">Copyright <b>SHAZAM Analytics, 2018</b></font>Fri, 11 Apr 2014 17:08:40 +0000Non-normal modelshttp://community.econometrics.com/question/480/non-normal-models/Hi all,
**Background-problem**: I have time series data which do not follow a normal distribution (according to skewnes and kartosis - or the Jarque-Bera test). The variables are equal to or greater than zero. The residuals are expected to be non-normally distributed.
I assume I need to use non-normal models. Shazam has a rich model-battery for non-normal models (see Chapter 21. Shazam manual). **Question**: Do the Shazam-expert-team or users of Shazam have any suggesitons of informative literature which could guide the user in the selection or search for the "right" model to model the non-normal distribution?
Regards,
Wed, 09 Apr 2014 08:36:44 +0000http://community.econometrics.com/question/480/non-normal-models/Comment by SHAZAMHelp for <p>Hi all,</p>
<p><strong>Background-problem</strong>: I have time series data which do not follow a normal distribution (according to skewnes and kartosis - or the Jarque-Bera test). The variables are equal to or greater than zero. The residuals are expected to be non-normally distributed. </p>
<p>I assume I need to use non-normal models. Shazam has a rich model-battery for non-normal models (see Chapter 21. Shazam manual). <strong>Question</strong>: Do the Shazam-expert-team or users of Shazam have any suggesitons of informative literature which could guide the user in the selection or search for the "right" model to model the non-normal distribution?</p>
<p>Regards,</p>
http://community.econometrics.com/question/480/non-normal-models/?comment=487#post-id-487Usually this is done by looking at what distribution makes sense for the dependent variable based on the underlying theory (eg. economic) rather than the residuals.Fri, 11 Apr 2014 06:22:38 +0000http://community.econometrics.com/question/480/non-normal-models/?comment=487#post-id-487Comment by Pantera for <p>Hi all,</p>
<p><strong>Background-problem</strong>: I have time series data which do not follow a normal distribution (according to skewnes and kartosis - or the Jarque-Bera test). The variables are equal to or greater than zero. The residuals are expected to be non-normally distributed. </p>
<p>I assume I need to use non-normal models. Shazam has a rich model-battery for non-normal models (see Chapter 21. Shazam manual). <strong>Question</strong>: Do the Shazam-expert-team or users of Shazam have any suggesitons of informative literature which could guide the user in the selection or search for the "right" model to model the non-normal distribution?</p>
<p>Regards,</p>
http://community.econometrics.com/question/480/non-normal-models/?comment=491#post-id-491Thanks for the comment, and I guess the literature mentioned in the chapter 21 could be a good starting point.Fri, 11 Apr 2014 17:08:40 +0000http://community.econometrics.com/question/480/non-normal-models/?comment=491#post-id-491