Tagged Questions

Non-constant variance along some continuum in a random process.

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1answer
26 views

Is non-stationary the same as heteroscedastic?

Are the terms non stationary and heteroscedastic one and the same? As in they both imply a variable whose mean and variance changes with time?
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0answers
7 views

detecting change in variance with age

I have some data on some measure of performance for a group of participants of different ages (11-30 years). The scatterplot suggests that the variance changes over that time, with a wide range of ...
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0answers
43 views

Residual Diagnostics and Homogeneity of variances in linear mixed model

Before asking this question, I did search our site and found a lot of similar questions, (like here, here, and here). But I feel those related questions were not well responded or discussed, thus ...
1
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1answer
27 views

Consistency of heteroskedasticity-robust standard errors

Is the following statement true or not? When applying OLS with model $y=a+bx+u$, the heteroskedasticity-robust standard errors are consistent because $\hat u_i^2$ (the squared OLS residual) is a ...
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0answers
27 views

How to test heteroskedasticity at the independent variable level?

I know how to test the heteroskedasticity of a model's residuals. I am inquiring about how to test for heteroskedasticity for each specific independent variables included in the model. What is the ...
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0answers
20 views

Transformations in Simple Linear Regression [duplicate]

Suppose a linear model for Y in a single predictor var, X. If the residuals show a pattern of increasing variance (wrt X), sometimes a transformation of Y, Y'=f(Y) is considered (where f is sq rt, ...
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0answers
23 views

Troubles reporting transformed variables for log and sqrt into a general equation

Good morning everybody, I see CrossValidated has really high level of questions and answer; I am just a student so I hope this question is not too basic... Suggestion of further readings available ...
0
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1answer
51 views

ANOVA - when homogeneity of variance is violated

My data was a repeated measurement (3-4 measuring times) with one fixed factor (4 doses) and nested (Please find an example below). I would like to ran ANOVA but the assumption of homogeneity of ...
2
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0answers
59 views

Accounting for heteroskedasticity in lme linear mixed model?

I have a data set where I measured the number of molecules (M) present in cells as a function of drug (with or without) and days of treatment (5 timepoints). I repeated the experiment 3 times, with ...
4
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2answers
112 views

How to perform residual analysis for binary/dichotomous independent predictors in linear regression?

I am performing the multiple linear regression below in R to predict returns on fund managed. reg <- lm(formula=RET~GRI+SAT+MBA+AGE+TEN, data=rawdata) Here ...
3
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2answers
308 views

Heteroscedasticity in Regression

I have seen a tutorial video where a person is advising to check for heteroscedasticity in a regression by plotting the IV against the DV. Is this a problem? Are there any drawbacks with this ...
2
votes
1answer
78 views

How to deal with heteroscedasticty: choosing between White, WLS or Log linear model?

I am dealing with heteroscedasticity, and as we learned several methods to deal with the issue, I would like your help in choosing which one. The problem comes out of the econometrics book of ...
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3answers
60 views

ANOVA with outlier group

This is my first question (previously the search function has been enough), so please bear with me. I have a very simple experimental design with one outcome variable and 5 groups. My typical ...
10
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2answers
274 views

Explanation for non-integer degrees of freedom in t test with unequal variances

The SPSS t-Test procedure reports 2 analyses when comparing 2 independent means, one analysis with equal variances assumed and one with equal variances not assumed. The degrees of freedom (df) when ...
2
votes
1answer
44 views

Exponential regression residual check

If you have an exponential regression of the form log(y) = b0 + b1x with predicted equation ŷ = 10^(b0 + b1x) and you need to ...
1
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0answers
32 views

Variance functions and transformations in linear mixed models, beginner questions

First post here. I'm pretty much a newbie both in statistics and using R, but nevertheless trying to fit a linear mixed model with the package nlme. My question is about transformations/variance ...
4
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1answer
79 views

Residual Plots and Transformations in Linear Regression

What does it typically mean when the plot of residuals vs. fitted values in a linear regression forms a parabola symmetric about the y-axis (for both convex and concave parabolas)? How can one infer ...
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0answers
21 views

GLM post hoc with non-parametric tests?

I have a question regarding the appropriate use of comparisons for independent samples (3 factor levels). Overall sample size is N=546, subsamples: 218 or 228 or 100), convenience sampling, ...
0
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1answer
22 views

Is McDonalds (1999) omega a measure of unidimensionality or homogeneity?

I recently read a paper in which the authors used Cronbach's $\alpha$ and $\omega$ as measures for unidimensionality and homogeneity. In case of $\alpha$ I know that it is wrong, but I am not so ...
3
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2answers
162 views

Mann Whitney test with unequal variances [duplicate]

I am confused on what I have read about the Mann whitney test. We are testing whether our actual data is the same as our projected data. We had been using the t-test until we realized the data might ...
3
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1answer
185 views

Spread-Level Plot versus Power Transformation Functions in R

I'm having trouble interpreting the results from the Spread-Level Plot function in R (car package). The documentation says: PowerTransformation spread-stabilizing power transformation, ...
1
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1answer
86 views

Testing the variance part of a Generalized Linear Model out of sample

Suppose I have a response vector and a factorial design (for simplicity, assume it’s a one-way ANOVA with two treatments). A few Generalized Linear Models (Poisson, Negative Binomial, etc) are fitted ...
2
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1answer
154 views

Weighted regression

I have a response variable, y.hat, that is an estimate of animal abundance. I know the standard error of y.hat. I'm skeptical ...
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0answers
12 views

measurement sampling error and heteroskedasticity

I was reading: A potential problem arises from the fact that the measurement (sampling) error associated with the regression beta may vary cross-sectionally. This may introduce heteroskedasticity ...
1
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0answers
50 views

How do I test for homogeneity of regression in MANCOVA?

I am using a one-way independent MANCOVA with 4 dependent variables and a single covariate. My predictor is bivariate. I'm currently trying to test for heterogeneity of regression in SPSS by ...
2
votes
3answers
216 views

Homoskedasticity Assumption: Var(y|x)=Var(u|x)=constant?

I've seen the homoskedasticity assumption stated as the constant conditional variance of the error (i.e., Var(u|x)=constant). I was wondering if I can also state the homoeskedasticity assumption as ...
1
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1answer
44 views

Analyzing regression results

I have done a regression model where i determine the number of cubes (independent variable) based on the amount of units i started with for each product type (dependent variables, ...
1
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1answer
81 views

Using OLS for Model Selection and Prediction - Heteroscedasticity Issue

I am new to regression and having problem in solving Heteroscedasticity in OLS. Have done lots of homework and test before seeking your advice. Sharing the background and what I have done to solve the ...
1
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1answer
96 views

R - Test for homogeneity of regression slopes results in singular model

I am trying to check the assumptions of a two-way ANCOVA. So in my model I have two factors (F1, F2) one dummy coded two level covariate (C) one dependent variable (D) In order to check the ...
3
votes
1answer
23 views

Equivalent of paired $t$-test for dispersion

I'd like to compare, in a within subject design, the dispersion of two conditions. At first I thought about taking the standard deviation by individual and condition, and compute a paired $t$-test on ...
1
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0answers
52 views

Testing for heteroskedasticity of time series in R

I wish to test my time series data for volatility clustering, i.e. conditional heteroskedasticity. So far, I have used the ACF test on the squared and absolute returns of my data, as well as the ...
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0answers
44 views

allowing for different variances between groups versus allowing for random slopes in lme

I have a data set that looks like this: Genotype Condition Trait A 1 0.0007 B 1 0.005 A 2 0.0003 B 2 ...
2
votes
2answers
696 views

Can we use a coefficient of variation as a statistic for testing homogeneity of variance?

There are well-known HOV tests, for example Levene's, Brown-Forsythe's, Barlett's available in SAS and R. But $C_v$ also deals with dispersion, can we use it to understand the degree of HOV? July ...
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0answers
20 views

Taking log of variables for my GMM study.

I am assisting a professor in implementation of Arellano Bond estimator for a study on Factors, which are crucial determinants for Bank profitability. Someone suggested me to take log of the variables ...
1
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1answer
136 views

Estimate average percentage error based on another gaussian measurement

I have a model where the error is proportional to the throughput. This is, the observations I got come from a measurement instrument that has some error and it measures material going through in ...
1
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0answers
38 views

glm or glmm model with unequal variance

I am applying a GLM model with binomial family: glm(response ~ Treatment, family = binomial, data=dat) The only explaratory variable treatment is a categorical ...
4
votes
1answer
148 views

2x2 ANOVA - assess violations of homoscedasticity & normality

I have a 2x2 factorial unbalanced between-subject design, n = 355. My DV is a subjective probability estimate (i.e., a number between 0 and 100). My ANOVA model: ...
3
votes
1answer
103 views

OLS regression - robust estimates for parameter's variance

I'm estimating a model for corporate social responsibility (not important). I have found my variable of interest significant at 5% confidence level. My sample is $N=84$, cross-section. For this I ...
2
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0answers
23 views

Estimate power for linear model with Bernoulli-distributed error

I want to estimate a linear model for a phenotype $y_i$ defined by a liability threshold model, using observable data $x_i, c_i$. $$y_i = \mu + \beta x_i + \epsilon_i$$ $$\text{Pr}(\epsilon_i | x_i, ...
1
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1answer
50 views

Testing for heteroscedasticity with many observations

I used the Breusch-Pagan test for heteroscedasticity, but I have many observations ($\approx 500,\! 000$) and the Breusch-Pagan test uses $nR^2$ as a test statistic where $n$ is the number of ...
6
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2answers
232 views

Heteroskedasticity in residuals vs. fitted plot

I am testing whether price per ounce of beer (continuous variable, range of values mostly between 0.1 and 0.5 dollars) and the presence of promotion, advertisement, and display (all binary) have ...
1
vote
3answers
84 views

Correcting data for heteroscedasticity in a regression model

I applied OLS on a regression model that looks as follows: $$ y = b_0 + b_1x_1 + b_2x_2 $$ and found that signs of heteroscedasticity. In an econometrics text book, I found that I can divide each ...
2
votes
1answer
50 views

How to deal with non-normal heterocedastic data from a factorial experiment?

I ran an experiment with two factors each with two levels, 5 replicates each combination and one response variable. My data are non-normal and heterocedastic. Transformations didn't help. I ran a ...
4
votes
1answer
45 views

Predicting variance of heteroscedastic data

I am trying to do a regression on heteroscedastic data where I'm trying to predict the error variances as well as the mean values in terms of a linear model. Something like this: $$\begin{align}\\ ...
0
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0answers
52 views

Test heteroskedasticity in Tobit model

I'm examing the relationship of payout policy and cash-flow uncertainty. My research' s data is cross section data and I use Tobit model to test the impact of explanatory variables (cash-flow ...
0
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0answers
14 views

Nonparametric test when variances are unequal [duplicate]

I have to compare two groups with data that are not normally distributed and have unequal variances. Which nonparametric test is to be used when variances are different?
3
votes
0answers
101 views

Testing for multiple conditional heteroskedasticity in multivariate regression

Briefly, I am looking for an extension of the Breusch-Pagan test to the case of multivariate dependent variables. The scalar form of the test, with multiple regressors, assumes the model ...
2
votes
1answer
69 views

How to present a one-way ANOVA when one of the group's variance is “unequal.”

I'm writing a research paper in entomology that compares 6 categorical variables (species) in terms of one dependent anatomic continuous variable. My samples look very normal by box-plots, etc. ...
0
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0answers
98 views

How to test for heteroskedasticity in Random Effects model?

I know how to test for heteroskedasticity using pooled OLS? But how can I do it after I have run a Random Effects model? If I find heteroskedasticity in pooled ols does it mean it is also present in ...
0
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0answers
96 views

Cluster-robust Standard Errors

acoording to paper http://cameron.econ.ucdavis.edu/research/Cameron_Miller_Cluster_Robust_October152013.pdf on page 4 the “failure to control for within-cluster error correlation can lead to very ...