Hi everyone,
I am running an time series analysis using ARDL -ECM model consisting of 47 observations
the lag selected from running varsoc for my model is 3
when I carry out diagnostics including running the cumulative sum of recursive residuals (CUSUM) and cumulative sum of recursive residuals of squares (CUSUMSQ. Everything but the JB test passes the test. I get this for JB:
Jarque-Bera normality test: 8.318 Chi(2) .0264
Jarque-Bera test for Ho: normality:
When I change the lag to 2, the JB also passes the test, However, the significance of one of my main variables of interest also changes and becomes insignificant using the lag of 2.
I prefer the model in which the main variable Is significant (at the lag of 3). What can I do to improve the JB result? Are my results still good enough when JB fails as in the case above?
Thanks
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