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I'm currently testing a (binary) logistic regression model, which seems to have at least some issues with multicollinearity. Now I don't really trust the data anymore and would like to also test it on heteroscedasticity. I found some information on Breusch-Pagan Test on the internet, but I could not find an answer to the question if this test also applys on Maximum-Likelihood-Methods, as it is usually mentioned in the context of OLS. So, can I apply the Breusch-Pagan Test on my model?

Related to this question: How could I plot for heteroscedasticity-detection? I found this thread, but due to the binary nature of my dependent variable, the plot does not really work and unfortunately I'm pretty novice on plotting with R.

Thanks in advance!

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1 Answer 1

up vote 3 down vote accepted

The variance of binomial data is determined by the mean. One number rules them all. Logistic regression is designed around this and therefore there is no assumption of equal variance. The assumptions are:

  1. linearity in log odds space
  2. independent errors
  3. multicollinearity among predictors isn't too high
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There's no assumption of non-multicollinearity (unless perhaps you mean perfect multicollinearity). Also worth explaining that linearity means the log-odds are a linear function of the parameters, so various types of non-linear relationships between log-odds & predictors are possible (using e.g. polynomials or splines). And that overdispersion is some circumstances what you ought to be looking for rather than the (expected) heteroskedasticity. –  Scortchi Apr 7 at 13:03
Thanks @ John for clarification. @Scortchi Would I compare fitted vs. predicted values (maybe in a plot) to look out for non-linear relationships? –  Leo.SurveyMeth Apr 7 at 13:07
What's the difference between "fitted" & "predicted"? –  Scortchi Apr 7 at 13:07
Oh, replace "predicted" with "residuals". I've seen a plot like this while scanning for information about the topic. –  Leo.SurveyMeth Apr 7 at 13:10
Yes, & vs individual predictors. Use loess to smooth if necessary. –  Scortchi Apr 7 at 13:14

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