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I estimate a linear regression model and compute the variance of residuals in both the training-set and also on an additional test set. Ideally these should not be very different.

Does it make sense to test if these are significantly different or not? Are there any significance tests for this?

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  • $\begingroup$ Here is a topic telling everything about variance of residuals vs variance of the prediction error, I think this may help you : stats.stackexchange.com/questions/115011/… $\endgroup$ – LouisBBBB Feb 20 '17 at 13:20
  • $\begingroup$ Thank you, this topic nicely explains the computation of variance of prediction error, but I did not see any significance tests. $\endgroup$ – badim Feb 20 '17 at 14:18

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