Hello everyone, I am conducting a research study using annual observations from 1980 to 2021 and applying the…

By Sajib Bhattacharjee

Hello everyone,

I am conducting a research study using annual observations from 1980 to 2021 and applying the ARDL model. After estimating the model, I conducted several diagnostic tests, including tests for serial correlation (Breusch-Godfrey LM test), ARCH, Jarque–Bera normality, and parameter stability using CUSUM and CUSUMSQ.

My model passes all the diagnostic tests except the "Jarque-Bera normality" test.

My question is: Does failing the Jarque-Bera normality test affect the ARDL results? Is it mandatory to report the Jarque-Bera normality test result in an ARDL study?

I would be grateful if any supervisor or experienced researcher could share their insights on this issue. Thank you.