I have a dependent variable ($Y$) whose distribution is as shown below. In particular, the variable exhibits positive skewness, has a few negative values and many positive values (generally less than one), and peaks near zero. The distribution after log transformation ($\ln(1+Y)$) is very similar too.
Would OLS models be a good choice in this case, or are there any alternatives that would better fit the nature of the dependent variable?
Best Answer
Have you considered a Skewed Normal Distribution?
I believe that using this distribution you'll be able to account for the skewness of your variable, but keeping the parametric space of a Normal Distribution, which seems adequate here.
Also, one part of your question was already answered here: Skewness in dependent variable (OLS, Gauss Markov, non-normality)