# Questions tagged [heteroscedasticity]

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

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13 views

### How to handle violation of Homoscedasticity

It seems that my model doesn`t follow the assumption of Homoscedasticity(simple linear regression). How should this issue be handled?
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### Heteroskedasticity tests: heavy-tailedness of squared estimated errors

I have a time series model and obtain the following distribution of estimated errors: I suspect that the errors are heteroscedastic in the sense that their variance depends on the level of one or ...
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### Is a nonlinear regression model valid even if it not Homoscedastic?

I have a couple of experimental datasetsa where I am trying to determine if there is, for each data set, a particular linear/nonlinear regression model that correlates both variables. To this end, I ...
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### Is assumption of residual normality and Homoscedasticity in nonlinear regression

I am still learning a lot about nonlinear regression and I have some questions about residual normality and Homoscedasticity: 1) From what I could find here (Consequences of violating assumptions of ...
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### How to do a levene's test without a grouping variable?

I have a list of people who did a test before and after an intervention. And I want to compare their pre- and post-scores. Now before I do t-tests, I have to check for heteroscedasticity with a levene ...
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### Is this Residual-vs-Fitted-Plot showing homoscedasticity or heteroscedasticity?

I have a regression model. I checked it with hettest (test for heteroscedasticity) in Stata and it gave me an insignificant result; thus no heteroscedasticity. But ...
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### Contradictory results between Breusch-Pagan test and Goldfeld-Quandt test in Python

I am reading Python regression diagnostic for statsmodel in Python. Under the heteroskedasticity tests, they introduced two test: the Breusch-Pagan test and the Goldfeld-Quandt test. From my ...
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### Generalized Least Squares for linear regression with continous and categorical predictors

I have a linear regression model in R studio with a continous and a categorical predictor, where the assumption of homoscedasticity is violated: ...
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### How to fit the data with both Ridge and Robust regressions

I have a set of data that has multicollinearity and heteroscedasticity. I understand if the data only have multicollinearity we can use ridge regression or I can use the VIF indicator and remove the ...
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### Heteroskedasticity testing with Breusch-Pagan in R, two functions — very different answers?

I am currently testing two different functions in R to determine heteroskedasticity in a regression model with 4 predictors, 2 continuous and 2 categorical. One function is telling me there is a high ...
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### Testing for homoscedasticity using the Breusch Pagan Test

I am trying to figure out how to test for homoscedasticity. But run into a small issue. I am using this r-bloggers article as a learning resource. According to this article there is no ...
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### Adjusting standard errors for *both* heteroskedasticity and clusters in MATLAB?

My data is not exactly a panel, so I can't use the Panel Data Toolbox. It is over time (years) but not for the same industries. For example I have multiple rows with same industry in one year, and ...
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### Why do heteroscedasticity-robust standard errors in logistic regression?

I am following a course on R. At the moment, we are working with logistic regression. The basic form we are taught is this one: ...
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### Dealing with Heteroskedasticity in Estimated Dependent Variable model

I work on my research in finance concerning pricing of green bonds and I am running a two stage model. Stage 1 regression is an unbalanced panel fixed effects estimation. For each of my 100 green ...
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### why arima uses differencing transform not the log transform to make data stationary?

I am currently working on time series project and i am naive. I would like to ask, there exist strict stationary, differencing stationarity. If i understood correct the first order differencing ...
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### Heteroscedasticity in GLMM

I'm after some advice regarding heteroscedasticity in a residuals vs predicted plot. I have measured the length of a group of animals at birth and then at five subsequent time points into the future. ...
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### variance of beta 1 OLS homocedastic v/s OLS robust

Hi i would like to demonstrate this but I could not. firstly we know that $var(\hat{\beta}_1^{homo})=\frac{\sigma^2}{\sum(x_i-\overline{x})^2}$ in the homoskedastic model. Secondly, we also know that ...
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### Variance stabilizing transformation for time series

I differenced the time series and got this plot. I think I'm supposed to use a variance stabilizing transform because variance is increasing over time but I'm a bit confused as to which one I'm ...
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### Is there ever a statistical reason NOT to use Satterthwaite's method to account for unequal variances?

Two related questions: 1) From what I've read, using Satterthwaite degrees of freedom does not assume equal variances, which allows it to be used on datasets that would be inappropriate for, say, a ...
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### Test of homogeneity for Odds Ratios in conditional logistic regression analysis SPSS

I'm doing a case-control study, and I have made stratified analyses based on two age groups, as well as subtype of the type of cancer I'm doing my research on. My exposure of interest seems to be ...
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### Do these graphs show that the regression assumptions are met?

Is there any concern regarding this plot, specifically that it meets the homoscedasticity assumption? May I continue with multiple linear regression? How can I fix this? My research is on household ...
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### Breusch and Pagan Lagrangian multiplier test for random effects for Random effect heteroskedasticity

I'm really confused about Breusch and Pagan Lagrangian multiplier test for random effects. The command in stata is xttest0. Some say it is a test to choose between random and fixed effects and ...
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### Heteroscedasticity test for random effects model in (Stata) [closed]

I'm using panel data in my study. So far, already done the analysis with xtreg, for re and fe, and Hausman test yielded that I should use re. However, when I wanted to test for Heteroscedasticity, ...
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### Using GLS to fix heteroscedasticity

I have a dataset of global solar irradiance (ghi), diffuse solar irradiance aka solar radiation bouncing of trees, clouds, etc (dhi), and cloud cover. I theorize that I can estimate the dhi given ghi ...
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### GLS models: how to interpret results and how to run predictions [closed]

I have data that is quite heteroscedastic, and therefore decided to try fitting a GLS model in python with the statsmodels package in python. The data has two continuous feature variables with skewed ...
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### KPSS test and heteroscedasticity

I am trying to transform a time series to make it stationary. After two differencings it looks like this: KPSS test value is 0.01075801 with p-value=0.1, so the stationarity is not rejected. But just ...
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### Minimizing the expectation value of least-squares loss when data and model are randomly distributed with known normal distribution

How do you minimize the stochastic robust least-squares problem $$\min_x \mathbb{E}\left\{||A x - b||^2\right\}$$ in which both the parameters $b$ and the model $A$ are normally distributed with ...
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### One-way ANOVA or Kruskal Wallis in SPSS for non-normal data that shows no homogeneity of variance?

I have fisheries catch data that I need to analyse for my thesis. I already did meta-analysis in Excel, and got some main trends and percentiles out of it. For other stats I am using SPSS. I was ...
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### Does homoscedasticity imply that the regressor variables and the errors are uncorrelated?

By OLS regression equation: $$Y = a + bX + e$$ My thoughts are that homoscedasticity by definition imply that $Var(Y|X) = Var(e|X)=$ constant, then this would imply that $Var(e|X) = Var(e)$ which ...
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### How to fix heteroscedasticity (funnel shape)?

I am running a mlr in python on a dataset with 2D feature vectors, X1 and X2 on a single response, Y. The data ends up being funnel-shaped, as below: X1 v Y, with the colors being X2. It was ...
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### Interpreting Residual Plots

I was hoping to get some input on people's thought process when looking at residual plots of a linear regression to assess the fit / whether assumptions are met. I included a plot of a model I'm ...
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### Different ANOVAs by subgroup

I am analysing data which I generated using a simulation model. Due to the stochasticity of the model, the output is also stochastic. I have several dependent variables (let's say X and Y) and vary ...
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While studying Heteroscedasticity, I got a question about its form. Usually it is written by $$Var(\epsilon_i | x_i) = \sigma^{2}_i = \sigma^{2}h_i^{2} = \sigma^{2}\exp(z_i' \alpha)$$ where $z_i$ ...
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### (G)LM prediction interval with heteroscedasticity

I am trying to get prediction intervals from some non-linear data which also exhibits heteroscedasticity. ...
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### Multiple linear regression and model build in light of regression diagnostics

I have a dataset of approx. 200 observations, consisting of Profit which is my dependent variable and is continuous, and the independent variables are Turnover (also continuous), and 3 additional ...