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

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7 views

How to add a fixed variance structure do a GAM

I am using GAM to fit a smooth line to represent the recovery of timber stocks following forest harvest. The data is heterogenous and I do not want to transform it. I understand that a nice way to ...
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0answers
33 views

Panel data with N < T heteroscedasticity and autocorrelation. Should I include country dummies?

I have panel data of $N=18$ countries with $T=72$ months. Heteroskedasticity and autocorrelation are present in the dataset. I was working in Stata with xtreg fixed ...
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0answers
12 views

Method to analyze data which has no repetitional measurement

I am trying to find a good method to analyze my data, and I am really lost. My data is only from one riverstretch, no repetitional measurement. I look at three stretches of the river, near ...
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0answers
10 views

How to use the Glejser test?

Glejser tests for heteroskedasticity of a single independent variable within a multiple regression model. And, it tests it by conduction a basic regression: ABS(Residual) = intercept + slope(X). In ...
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1answer
31 views

What are the three forms of the Park test for heteroskedasticity?

I understand the Park test for heteroskedasticity has three different forms. The best known one is in a log form: LN(Residual^2) = intercept + slope (LN(X)). The second one is in a linear form: ...
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16 views

Pairwise Wilcoxon test gives wrong results

I'm trying to perform a pairwise Wilcoxon test in R. When using Bonferroni p-adjustment I got only 1's and 0's. When changing p-adj to 'none', I get this: ...
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1answer
50 views

Heteroscedasticity and simple linear regression

I have 2 continuous variables and I want to conduct a simple linear regression, 1 DV and 1 IV. There is a moderate correlation between them. However, I suspect there may be some heteroscedasticity and ...
3
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1answer
39 views

Scientifically reasonable or not ? exclusion of very, very uncertain values from statistical analysis

I have 5 treatments A1 .. A5 and 4 independent individuals per treatment, whose parameter X is of interest to me. My objective is to compare X among treatments, and see if one or more treatment ...
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1answer
60 views

binary logit regression - which test apply for detecting heteroskedasticity?

After reading a lot of different papers and a lot of different posts on the internet I still don't have a clue how to test on heteroskedasticity with my logistic regression (binary). The White test ...
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1answer
32 views

Do I have to standardize my data to calculate variance?

I have 2 groups/samples. Correct me if I'm wrong, but before doing an independent-group t-test we have to verify the homogeneity of variance with Hartley's F-max test. When doing this test, we have ...
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0answers
29 views

Why is it possible that the White test and the special case of the White test can give different values of $R^2$

In the textbook I am using (Introductory Econometrics: A Modern Approach by Jeffrey M. Wooldridge, 5e), it is implied that the $R^2$ from the regression of residual-squared on all independent ...
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1answer
72 views

How can heteroskedasticity that is only contingent on omitted variables not effect the validity of standard errors?

In the textbook I am using (Introductory Econometrics: A Modern Approach by Jeffrey M. Wooldridge), there is a description that goes, By explicitly stating the homoskedasticity assumption as ...
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2answers
183 views

How can you test homogeneity of variance of two groups with different sample sizes?

I have two groups of data that have different sample sizes and in order to be able to analyze both sets they must have the same variance. I was told I should use Bartlett's to test the homogeneity of ...
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1answer
74 views

Groupwise heteroskedasticity

I know how to derive the GLS estimator of beta (theoretical GLS), but there a slight change to the question and i am not quite sure how to go about it. A researcher has reason to believe that the ...
3
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0answers
37 views

Simple Linear Regression - Prediction Interval and Non-constant variance

I have two questions about a simple linear regression model. I want to use test1 scores to predict test2 scores. I am using R software. x=test1, y=test2, Let's say that both tests are scored from 1 ...
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0answers
44 views

Stationarity ⇒ homoscedasticity? [duplicate]

If my data is stationary, can I also write that it is homoscedastic? Does stationarity imply homoscedasticity of the data?
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2answers
249 views

Dealing with Heteroscedasticity in ANOVA

I need to perform an ANOVA on percentages data. I have 3 factors: TREATMENT, SAMPLE and DaysAfterTreatment (DAT). Treatment has 3 levels: Control, A, B. SAMPLE has 2 levels: SampleA, SampleB. DAT has ...
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2answers
155 views

How do residuals relate to the underlying disturbances?

In the least squares method we want to estimate the unknown parameters in the model: $$Y_j = \alpha + \beta x_j + \varepsilon_j \enspace (j=1...n)$$ Once we have done that (for some observed ...
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1answer
32 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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1answer
16 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
76 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 ...
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1answer
33 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
44 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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21 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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25 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 ...
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1answer
71 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 ...
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0answers
94 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
157 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
330 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
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1answer
104 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
73 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
319 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
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1answer
49 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 ...
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0answers
36 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
112 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 ...
3
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1answer
37 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
23 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
190 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
244 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, ...
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1answer
90 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
174 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
14 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 ...
2
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2answers
433 views

Two-Sample t-Test for Equal Means with unequal variances for large samples

How can I perform a two sample test of means with unequal variances for a very large sample in R? In case of large samples the statistic will asymptotically follow a normal distribution. Which R ...
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0answers
56 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
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3answers
240 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 ...
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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
98 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
127 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
25 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
59 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 ...