# Questions tagged [heteroscedasticity]

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

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### Estimating heteroscedastic variance using a log transform and NN

In a paper I read, they are using a NN to estimate the heteroscedastic variance in a regression scenario (actually a bit more complicated than this, but irrelevant to the question). After they fit 1 ...
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### Why is Ω unknown in GLS?

We run OLS and found the Homoscedasticity is violated and Hence, we go for GLS. But from variance-covariance of OLS's error - we have already found the Ω. Now, if we want to estimate β coefficients ...
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### Differing statements Breusch-Pagan test vs. studentized Breusch-Pagan test

I am running a linear regression ...
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### White test with neural networks in Python

I'm trying to apply the White test for heteroskedasticity to some neural network models in Python (https://www.statsmodels.org/dev/generated/statsmodels.stats.diagnostic.het_white.html). The built-in ...
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### How to chose between transforming the data or applying a weighted regression when there is heteroscedasticity?

For long I have seen advice that, when the assumption of homoscedasticity is violated, one should transform the data or use weighted least-squares (see for example). But the advice (at least the one I ...
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### Is it possible to know the actual covariance matrix, but fail to take-down heteroscedasticity and autocorrelation?

Is it possible to know the actual covariance matrix and estimate betas using $\Sigma$, but fail to defeat the problems caused by heteroscedasticity and autocorrelation and have biased or high-...
29 views

### Are the model residuals from GEE interpretable as residuals from simple linear regression?

Are the model residuals from GEE interpretable as residuals from simple linear regression, so that I may plot a residual versus fitted plot to determine whether there's heteroskedasticity? It is known ...
35 views

### Does the sandwich-estimate eliminate heteroskedasticity in a model residuals versus fitted plot, or simply make the estimation robust to heteroskedas? [closed]

Does the sandwich-estimator/Huber-White/GEE eliminate heteroskedasticity in a residuals versus fitted plot, or simply make the model robust to it?
1 vote
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### Extreme Heteroskedasticity - Multiplicative Model - Strange residuals

I absolutely need your help with my research. When I checked for heteroskedasticity I obtained a weird result from the white test (p value = 0). When I plot the residuals, these are the results: ...
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1 vote
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### Why is there heteroskedasticity even though no relationship seems present in the residual plot?

I estimated a random effects panel model and performed the Breusch-Pagan (BP) test for heteroskedasticity. The test is significant, meaning that there is heteroskedasticity. However, the residual plot ...
20 views

### How to build a regression equation for a gamma GzLM and how to interpret it?

I am trying to analyze if referral programs (1/0) have an impact on the average monthly spending of a user. I am confident that the gamma GzLM is the best model for my distribution: According to ...
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### How to optimize transform function to make the variance and mode of the variance roughly stable?

\$ curl -s https://i.stack.imgur.com/rl1eT.gif | tail -c +43 | zcat x y x2 2030667 x2 2343967 ... I have data like the above. If you compute the mean and ...
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### Heteroskedasticity in OLS which best: clustered SE or robust SE?

I am trying to estimate the effect of a change in minimum wage regulation with no control group. I computed a propensity score for the probability of being affected by the change in MW before the new ...
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### homoscedasticity violated or not?

I was wondering if the homoscedasticity in these two figures has been violated or not? Best regards, Elise
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### Have my assumptions been met?

I am running assumptions for multiple regression and scatterplots are a real bane of mine. Can anyone advise as to whether the following scatterplot provides a linear or non linear relationship ...
1 vote
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### Do I need to transform/standardise my dependent variable?

Attached are the results and the residual plot for my regression of control variables on CEO compensation (TDC1). When I look at the plot my main concerns are the outliers (which I checked to be ...
1 vote
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### Parametric bootstrap *prediction* interval with heteroskedasticity and sandwich parameter covariance matrix

The sandwich estimator for OLS regressions where heteroskedasticity is suspected is $$var(\hat\beta) = (X'X)^{-1}X'ee'X(X'X)^{-1}$$ If I want confidence intervals on predictions, I can just take ...
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### Calculating fixed effects in a mixed model with non-normality and heteroscedasticity with a 3-level time variable?

Due to non-normality and heteroscedasdicity, I use robustlmm and not lme4 for my mixed effects model. The variables look like this: ID: subject variable (random factor) var1: categorical between ...
1 vote
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### Is homoscedasticity an assumption for Pearson's correlation?

I'm running correlation analysis in SPSS between my variables and I'm starting by checking the assumptions to run Pearson's correlation (r). I'm confused as to whether or not homoscedasticity is one ...
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### How can i check homoscedasticity for Level-2(between)-residuals in a twolevel model?

i have specified a random intercepts and slopes model with a Level 2-predictor for the intercepts on the between level. I have done the estimation with the lme4 package in R. Now, i want to plot the ...
49 views

### Heteroskedacity and non-normality - What to do?

I conducted an experiment in which I am trying to model the relationship between my response weed_coverage [%] and the predictors soil moisture [%] + treatment + distance. Weed_coverage and ...
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