Let me shortly introduce my research: I am looking at whether companies outperform each other in investments. To do this I observe them at multiple investments, and calculate fixed effects. Afterwards, I tested the fixed effects to confirm whether at least one company outperforms other companies.

The next step is to look at the distribution of the fixed effects and test them for normality(suggested by other studies). I tested for normality with the Jarque-Bera test, the outcome is that the distribution of fixed effects is not normal. However, I fail to see what this means.

My question: how do I interpret the fixed effects being not normal?

Kind regards,

Daniel