1. ## Regression analysis

Hi all.
Could I use linear regression with not normal distributed variable?

2. ## Re: Regression analysis

It depends on what you're doing. The Gauss-Markov theorem still holds even if the error terms of the regression model are not normally distributed

3. ## Re: Regression analysis

You can but your confidence intervals will likely be in error. It is generally a better idea to transform the data to make it normal (other alternatives include various robust regressions and non-parametrics).

4. ## Re: Regression analysis

Originally Posted by noetsi
You can but your confidence intervals will likely be in error. It is generally a better idea to transform the data to make it normal (other alternatives include various robust regressions and non-parametrics).
Although before jumping to conclusions it might not be bad for us to ask the OP what they mean by their question. As we have to say quite often - we don't care if the dependent or independent variables are normally distributed. It's the distribution of the error term that matters.

5. ## Re: Regression analysis

Yes I assumed they meant the residuals were not normally distributed. Also it is commonly said that ANOVA (and thus regression I assume) are highly robust to the assumption of normality of the residuals. Of course what that means in practice is not very clear....

6. ## Re: Regression analysis

Originally Posted by noetsi
Yes I assumed they meant the residuals were not normally distributed.
You're too optimistic. I've done enough consulting that when I see
not normal distributed variable
I don't assume they are talking about the residuals.

7. ## Re: Regression analysis

Unfortunately in many articles, text, and online reports not only do they fail to distinguish this, they actually analyze the univariate distrtibutions for normality. This is even more common I think with skew and kurtosis. It is the individual variable that is analyzed not multivariate skew/kurtosis (in fairness some software don't analyze multivariate aka mardia's skew kurtosis so its not easy to do this).

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