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I am testing the OLS assumptions and I got the following normal P-P plot. Does it look normally distributed or not?

enter image description here

gung - Reinstate Monica
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user89313
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2 Answers2

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This looks fine to me, as far as that goes. What you are most concerned about is the tails of your distribution, and pp-plots don't show those very well. QQ-plots do better; see: PP-plots vs. QQ-plots.

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gung - Reinstate Monica
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There are formal tests for normality- in particular the Jarque-Bera/Skewness-Kurtosis type tests.

ChinG
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    Jarque-Bera as I have seen it implemented uses asymptotic results for every sample size, a very bad idea as the convergence of sample skewness and kurtosis to normality is very slow indeed. – Nick Cox Nov 03 '15 at 19:21
  • is a K-S test better? – ChinG Nov 03 '15 at 19:29
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    Not to me. Almost none of these tests can possibly compare with a Q-Q plot, which shows you how much and where data depart from normality. A K-S test is arguably most sensitive in the middle of the distribution, precisely where departures are least important. Cf. @gung's comments. – Nick Cox Nov 03 '15 at 19:32