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

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3
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1answer
30 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
37 views
+50

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

Suppose I have a response vector and an ANOVA design (for simplicity, assume it’s a one-way ANOVA with two treatments). A few Generalized Linear Models (Poisson, Negative Binomial, etc) are fitted to ...
1
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1answer
92 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 ...
0
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0answers
9 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
vote
0answers
19 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
104 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
29 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
vote
1answer
36 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
vote
1answer
37 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
21 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
18 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 ...
0
votes
0answers
18 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
88 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 ...
0
votes
0answers
17 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
vote
1answer
127 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
vote
0answers
25 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
64 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
46 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
votes
0answers
14 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
vote
1answer
37 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
votes
2answers
149 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
62 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
30 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
32 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
votes
0answers
35 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
votes
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
91 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
46 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
votes
0answers
66 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
votes
0answers
56 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 ...
1
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2answers
113 views

inter vs intra group variance

Consider this example: ...
1
vote
0answers
29 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
votes
0answers
24 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
139 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
votes
1answer
214 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
132 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
votes
4answers
394 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
votes
1answer
322 views

Heteroskedasticity removed through fixed effect estimation?

I have a large panel data set. Examination of a pooled OLS regression with Breusch Pagan showed heteroskedasticity with all model specifications. I consequently chose to use panel-corrected standard ...
3
votes
1answer
66 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 ...
-4
votes
1answer
137 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.
1
vote
0answers
47 views

Predictive model for heavy tailed distribution

I have a variable with values strongly skewed towards zero: table() ...
0
votes
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.
0
votes
0answers
24 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
votes
2answers
90 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
vote
0answers
70 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
110 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
votes
0answers
32 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
vote
1answer
34 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
132 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
votes
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 ...