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From |
Christian Weiß <mail@cweiss.org> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Non-normally distributed dependent variable for Random-Intercept Model and 2SLS |

Date |
Mon, 9 Nov 2009 17:50:53 -0500 |

Hi Marteen, thank you very much for your answer! However, afaik, the OLS estimation itself does not require a normally distributed dependent variable. However, I thought - and please forgive me citing wikipedia at this point - that calculation of the Confidence Interval assumes a normal distribution? Snip: "The calculation of a confidence interval generally requires assumptions about the nature of the estimation process – it is primarily a parametric method – for example, it may depend on an assumption that the distribution of the population from which the sample came is normal. As such, confidence intervals as discussed below are not robust statistics, though modifications can be made to add robustness – see robust confidence intervals." Best Christian On Mon, Nov 9, 2009 at 5:33 PM, Maarten buis <maartenbuis@yahoo.co.uk> wrote: > --- On Mon, 9/11/09, Christian Weiß wrote: >> I am using a dependent variable which is almost, but >> according to the respective tests, not normally distributed >> (even after transforming). > > This is a very common mistake: These models do not assume that the > dependent variable is normally distributed, but that the residuals > are normally distributed. Any test of normality/Gaussianity of the > dependent variable is thus meaningless. > > Hope this helps, > Maarten > > -------------------------- > Maarten L. Buis > Institut fuer Soziologie > Universitaet Tuebingen > Wilhelmstrasse 36 > 72074 Tuebingen > Germany > > http://www.maartenbuis.nl > -------------------------- > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Non-normally distributed dependent variable for Random-Intercept Model and 2SLS***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**References**:**st: Non-normally distributed dependent variable for Random-Intercept Model and 2SLS***From:*Christian Weiß <mail@cweiss.org>

**Re: st: Non-normally distributed dependent variable for Random-Intercept Model and 2SLS***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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