The confidence intervals and the hypothesis tests in multiple regression are not seriously affected by departures from normality in the distribution of the error terms.

Question

Quizplus · Accepted Answer

The confidence intervals and hypothesis tests in multiple regression are robust to departures from normality in the distribution of the error terms. However, if the sample size is small and the distribution of the error terms is highly skewed or heavy-tailed, the results of the regression analysis may be less reliable. In such cases, it may be necessary to use alternative methods such as bootstrapping or robust regression to obtain valid inferences.

The Confidence Intervals and the Hypothesis Tests in Multiple Regression