# Tagged Questions

37 views

### Fligner test in R, with several variables indicating the grouping

I have to run an multiple way Anova and want to test the assumption of homoscedasticity. How can I run a Fligner.test with several independent variables (variables indicating the grouping) with R? ...
36 views

### Heteroscedasticity-consistent F-test

Why is the F-test for overall significance (OLS regression analysis) invalid when residuals are heteroscedastic? Is there a way to calculate it in a consistent way under heteroscedasticity? Is there ...
169 views

### Implementing Pettitt test in R

I'm trying to implement Pettitt test in R following papers like this pdf (pp. 5 & 6), or this pdf. But, I'm misunderstanding something, because having tested it with some data, I think that output ...
186 views

### statistical test to see if relationship is linear or non-linear

I have an example data set as follows: ...
42 views

### Do methods based on trimmed means require homoscedasticity?

I understand (from Wilcox' book [1]) that methods using the trimmed means are robust to distributional assumptions. Do the methods (e.g. bwtrim, from the ...
253 views

### how to test heteroskedasticity of a time series in R?

How can I test heteroskedasticity of a time series in R? I have heard of two tests McLeod.Li.test and bptest (Breusch-Pagan ...
172 views

### Chi-square test in finite mixture models

I was trying to figure out whether or not the distribution of a biomarker came from heterogeneous populations. Analyzing the data with normalmixEM in the ...
177 views

### Is there a better way to create variables with a certain correlation and one of them is heteroskedastic?

My goal is to generate two variable which are correlated and one of them is heteroscedastic with regards to an grouping variable. To create two variables with a desired correlation the common way to ...
532 views

### Different results of Engle's Lagrange multiplier test for conditional heteroscedasticity from SAS and FinTS

To fit a simple AR(5) model, I use SAS PROC AUTOREG. I called the option ARCHTEST=(QLM) which provides Engle’s Lagrange ...
767 views

### Regression modelling with unequal variance

I would like to fit a linear model (lm) where the residuals variance is clearly dependent on the explanatory variable. The way I know to do this is by using glm with the Gamma family to model the ...
250 views

### Checking assumptions of regression - homogeneity of variance

I have made 9 models using simple linear regression. I'm now checking that each of models meets the assumption of homogeneity of variance. Each of the models used either categorical or numeric (year ...
260 views

### How to check and correct heteroskedasticity in a multilevel model?

I've conducted an experiment in which we have registered a physiological measure (FR) of 30 participants in two different conditions. In each condition, I registered the measure in 20 time points, ...
111 views

### Estimating standard error of related regressions in R

I am working with regressions to understand the price creation of certain future contracts for commodities and try to explain it with other commodity pricese. These future contracts have different ...
7k views

### How to run two-way ANOVA on data with neither normality nor equality of variance in R?

I am working on my master thesis at the moment and planned on running the statistics with SigmaPlot. However, after spending some time with my data I came to the conclusion that SigmaPlot might not be ...
553 views

### Can I use generalised least squares with a binomial distribution and a nested structure?

I'm trying to fit linear models to my data in R. I need to use a generalised least squares method as I have heterogeneity of variance in one of my variables. I was planning to use varIdent, as the ...
1k views

### What are the dangers of violating the homoscedasticity assumption for linear regression?

As an example, consider the ChickWeight data set in R. The variance obviously grows over time, so if I use a simple linear regression like: ...
546 views

### Help using maxFratio() in R (Hartley's test)

I found documentation at: http://hosho.ees.hokudai.ac.jp/~kubo/Rdoc/library/SuppDists/html/maxFratio.html I am not sure how really to use this though and am coming up short finding help online. If ...
106 views

### Why to use fixed regressor in Breusch-Pagan?

I need to use Breusch-Pagan to check heteroscedasticity of my timeseries. I found the explanation of the function, here: http://hosho.ees.hokudai.ac.jp/~kubo/Rdoc/library/lmtest/html/bptest.html ...
342 views

### Heteroscedastic test does not solve the problem

As my previous questions I'm trying to solve a problem with my stocks tests. I tried Breusch-Pagan test for heteroscedasticity but some residuals still pass these tests. My procedure is: Get two ...
2k views

### Testing homoscedasticity with Breusch-Pagan test

In these days I'm working with Breusch-Pagan to test homoscedasticity. I've tested the prices of two stocks with this method. This is the result: ...
397 views

### Why the Breusch-Pagan test fails if I set the intercept to zero?

I'm using bptest function of lmtest package to use Breusch-Pagan test. I get a strange result, doing the follow: ...
423 views

### How can these residuals have homogeneity of variances?

I'm testing the Homogeneity of Variances with Fligner-Killeen test using the function fligner.test in stats On the chart below I have plotted the residuals that pass this test ...
3k views

### Why is the Breusch-Pagan test significant on simulated data designed not to be heteroscedastic?

I'm testing the residuals of a linear regression using Breusch-Pagan Test to detect Heteroscedasticity. This is the plot of the residuals: and this is the R code: ...
268 views

### Is there an exact version of marginal homogeneity test?

Here's what I know: I have read the chapter (p347ff) in Agresti, 1990, regarding dependent two-way tables, and I believe I understand the basics. My problem is that Agresti's model-based approaches ...
1k views

### Why do I get different heteroscedasticity robust standard errors in R when using the plm package?

I am now writing my bachelors thesis and I have come across some difficulties. I am about to do some panel regressions with time and entity fixed effects and I would therefore like to use the plm ...
3k views

### Calculate Newey-West standard errors without an lm object in R

I asked this question yesterday on StackOverflow, and got an answer, but we agreed that it seems a bit hackish and there may be a better way to look at it. The question: I would like calculate the ...