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Re: st: non-normal residuals

From   "JVerkuilen (Gmail)" <>
Subject   Re: st: non-normal residuals
Date   Tue, 12 Feb 2013 09:41:08 -0500

Lots depends on details you've not indicated but I largely agree with
Maarten. Non-Gaussianity is in itself not a huge problem, but skew or
other clear patterns in the residuals may be a sign that the linear
regression is not correct. You may have an omitted variable, for
instance. A transformation may help if it makes sense, but I wouldn't
do it just to fix up residuals.

If you have a reasonable regression model and still have mild
non-Gaussianity (which is best diagnosed using -qnorm-) then
bootstrapping or robust standard errors is a good fix.
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