a random process that has non-constant variance along some continuum.

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2answers
37 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
18 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
25 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 ...
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1answer
20 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
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1answer
20 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 ...
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0answers
27 views

Homogeneity Test [closed]

Has anybody used R for data homogeneity testing. I want to use the SNHT (standard normal homogeneity test $^{[1]}$), Pettitt$^{[2]}$, Buishand$^{[3]}$ and Von Neumann$^{[4]}$ tests for the ...
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0answers
13 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
16 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 ...
1
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2answers
55 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
15 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
119 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
22 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
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1answer
52 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
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1answer
37 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
12 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
35 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 ...
4
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1answer
124 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
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3answers
57 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
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1answer
24 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
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1answer
28 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
28 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
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0answers
86 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
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1answer
43 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. ...
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0answers
56 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 ...
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0answers
48 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 ...
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2answers
93 views

inter vs intra group variance

Consider this example: ...
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0answers
28 views

What to do when heteroskedasticity is expected?

I've got a dataset where I'm attempting to predict when an individual will develop a particular disease based on a set of biomarkers. I'm able to find a pretty good fitting model, but it has a high ...
0
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0answers
20 views

One-way ANOVA no homogeneity case

I need help with one-way ANOVA analysis. I am inspecting variance of one variable (spending) across various other variables (age, gender, income groups, etc.). Every time homogeneity assumption turns ...
2
votes
2answers
119 views

How do you find weights for weighted least squares regression?

I am a bit lost in the process of WLS regression. I have been given dataset and my task is to test whether there is heteroscedascity, and if so I should run WLS regression. I have carried out the ...
0
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1answer
167 views

How can I test heteroskedasticity in a Tobit model with Stata 12?

I want to test heteroskedasticity in a Tobit model with Stata 12. But I don't know how to do that. When I used an OLS model, I tested heteroskedasticity and autocorrelation, and didn't find much, but ...
3
votes
1answer
105 views

Feasible Generalized Least Square in R

I am studying the factors influencing the annual salary for employees at a undisclosed bank. The regression model that I have decided to employ is as follows: \begin{equation} ...
10
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4answers
368 views

Practically speaking, how do people handle ANOVA when the data doesn't quite meet assumptions?

This isn't a strictly stats question--I can read all the textbooks about ANOVA assumptions--I'm trying to figure out how actual working analysts handle data that doesn't quite meet the assumptions. ...
3
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1answer
284 views

Heteroskedasticity removed through fixed effect estimation?

I have a large panel dataset. Examination of a pooled OLS regression with Breusch Pagan showed heteroskedasticity with all model specifications. I consequently chose to use panel-corrected standard ...
3
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1answer
60 views

How to interpet residual plot?

As a part of a design of experiments course I'm taking, I ran an experiment at home. The experiment was checking how water boiling time changes under certain factors (5 overall factors) all which had ...
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1answer
118 views

What are key differences between homoscedasticity and homogeneity?

Homoscedasticity and homogeneity assumptions are popular and perhaps deal with ANOVA and regression. These assumptions create lot of confusion.
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0answers
46 views

Predictive model for heavy tailed distribution

I have a variable with values strongly skewed towards zero: table() ...
0
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3answers
101 views

Is it compulsory for a linear regression analysis that a dependent as well as independent variable have equal variance?

The literature suggests that we need to have dataset that meets the condition of homoscedasticity. However, it seems that such a condition is not proper.
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0answers
19 views

Breusch-pagan test for regression through the origin

When the Breusch-pagan test in R is done on a regression model through the origin with one independent variable then the df=0 and the ...
0
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2answers
80 views

Does failing a test for heteroscedasticity mean I need to reject the model?

I have a model produced by a logistic regression which tragically failed Breusch-Pagan test. ...
1
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0answers
64 views

How to test for serial correlation with pooled OLS, FE an RE?

I have pooled data for 3 years, and I have come across the problem of serial correlation. Some books mention the problem of serial correlation when pooling the data. My question is: is it possible to ...
4
votes
2answers
100 views

Robust regression - a better understanding

I looked at robust regression for the first time today and I am a bit confused, comparing it to something like ordinary least squares and I am not sure if I am on the right track. I read a few ...
0
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0answers
29 views

testing for heteroskedasticity with Breusch Pagan in time series

I want to use a Breusch-Pagan test with time series data, I have regressed the residual on the independent variables and added a lag for the dependent variable: is this the right way to be going ...
1
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1answer
30 views

Appropriate homogeneity test for meta-analysis

I'm looking at measures from different studies (for a meta-analysis) and hoping to provide an aggregate effect size. I'm trying to identify hetero-/homo-geneity to determine whether I should use a ...
3
votes
2answers
128 views

Efficiency of beta estimates with heteroscedasticity

I need something clarified and that is when you have non-constant variance, estimates won't be biased but will be a problem when it comes to the S.E. formulas and efficiency. Therefore OLS estimates ...
0
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1answer
31 views

Heteroscedasticity filter for time series

I am looking for a method or package in R that can remove heteroscedasticity from time series. Specifically, I have a number of time series to which I want to fit a VAR model. Each time series may or ...
1
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1answer
84 views

How should you fit ANOVA and linear regression models, if the equal variance assumption is violated?

This is my topic for the paper I'm working on for an undergrad stats class. It's supposed to be 20 pages... and I'll be honest, I understand very little beyond the basics and am over my head. From ...
1
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2answers
107 views

Homoscedastic and heteroscedastic data and regression models

How to understand the homoscedasticity and heteroscedasticity in context of regression models? Is there a way to check these properties in R?
0
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0answers
13 views

Homogeneity of Variance, 2 Way Completely Crossed Design

I am looking for some advice as to how I might handle having an unfavorable Levene's test outcome, that is to say a highly significant value. DOE Various containers with water were microwaved for ...
2
votes
1answer
295 views

Detecting heteroscedasticity - Can I use Breusch-Pagan Test on binary logistic regression?

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 ...