# Questions tagged [heteroscedasticity]

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

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### Addressing Heteroscedasticity in Mixed Effects Models with glmmTMB and DHARMa in R [duplicate]

I am analyzing ecological data in R, where I aim to understand the impact of urbanization on species trends. My response variable is the coefficient of species trends (estimate), and my main predictor ...
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### Question Regression Heteroscedasticity

I encountered this problem while studying introductory econometrics: Assume a LM: $Y = X'\beta + \epsilon$ For parameter estimation we assume $Y_{i} = X_{i}'\beta + \epsilon_{i}, i \in [n] \ (1)$ ...
1 vote
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### Non-normal distribution and heterogenous variances

I have a data set in which I measured a continuous variable (positive, continuous data) in response to different treatments(15 different pathogens) and I am unsure how to statistically analyse the ...
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### What does having "constant variance" in a linear regression model mean?

What does having "constant variance" in the error term mean? As I see it, we have a data with one dependent variable and one independent variable. Constant variance is one of the assumptions of linear ...
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### Is there a way to think about conditional vs unconditional heteroskedasticity graphically?

I find I understand concepts much better with the aid of charts/visualizations. I'm struggling to intuitively understand how one would be able to see whether error terms are correlated or not to the ...
1 vote
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### Regression with single-observation dummies: F-test under heteroskedasticity

I have a linear regression model with an intercept and a few dummy variables. Each of the dummies indicate a single observation, so the fit is perfect for these observations. Having fit the model, the ...
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### How critical/serious is the heteroscedasticity in my data (Breusch-Pagan test significant at p=.03)?

edit below I am doing this analysis for the first time. How concerned should I be about heteroscedasticity in my data? Here's the scatterplot of predicted values vs residuals: The Breusch-Pagan test ...
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### Heteroscedasticity in VECM residuals: consequences and solution

Does anyone know the consequences of heteroscedasticity in VECM residuals? For impulse reponse, standard errors and so on?
1 vote
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### Effect of heteroskedasticity in hierarchical (non-)linear models

Unlike linear models estimated via OLS where heteroskedasticity lead to inconsistency of the variance estimator but not the coefficient estimates, heteroskedasticity causes inconsistency of both ...
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### how to identify the form of heteroskedasticity?

After having done the heteroscedasticity test, and having confirmed its existence, I want to correct the model. To correct it, and proceed with the transformation of the data, I must identify the form ...
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### Heteroscedastic residuals of a VECM estimated by MLE

I have estimated an VEC model in Matlab, and it turns out the residuals are heteroscedastic. Now, does anyone know how to apply HAC errors to a VEC Model in Matlab? Alternatively, given the model is ...
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### Does this look heteroskedastistic?

I've got a continuous y (bounded between 0 and 10) and a 3 level categorical x (small, medium, large) and some other covariates (age, gender). After OLS regression, both the residual vs fitted plot ...
14k views

### Does this graph support the assumption of homoscedasticity?

I do not quite understand when a graph shows homoscedasticity. Can someone please explain this to me with the help of the plot I provided?
1 vote
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### Does this scatterplot indicate homoscedasticity?

Can anyone perhaps confirm if it is true that this scatterplot indicates that my data is homoscedastic? Since there are quite some more datapoints on the upper side, I was a bit hesitating. Thanks a ...
674 views

### Is there any test to check variance stationarity in time series?

The question is straightforward: Is there any test to check variance stationarity (homoscedasticity) in time series? And, if it exists, which are its implementations in R or Python?
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### What should I do when my data is normal, but not homogen?

My data is (n:43)genotypes with block as replication (n:2). the design is randomized complete block design. and I did normality test and the result said normal, but I did homogeneity test (levenetest) ...
1 vote
567 views

### games-howell test with multiple independent variables

my data doesn't meet the homogeneity of variances criterium. After a welch one way test I wanted to perform a post hoc games-howell test since it doesn't require the homogeneity of variances criterium....
1 vote
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### VAR, test for normality, autocorrelation and heteroskedasticity- should I use stationary first differences for these tests?

I am checking thhe long-term relationship between unemployment and labor force participation rate. I have a integration order I(1) and I want to run VAR. As far as I understand I need to use first ...
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### ANCOVA by SPSS with outliers and non-homogeneity

I’m working on ANCOVA to compare post- vs pre-treatment percentage change of a blood test value, L, between 10 groups (10 dosages from 3 drugs, all of which can lower L), with the pre-treatment (...
1 vote
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### Optimal three parameter variable stabilizing transformation of a Poisson

In the paper: "On the classical choice of variance stabilizing transformations and an application for a Poisson variate", Shaul K. Bar-Lev and Peter Enis give an optimal two parameter ...
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### Help on GARCH-X model theory

I need to understand how a GARCH-X model (GARCH with explanatory variable) works. What I've understood so far is: we have a simple GARCH(1,1) model: If I add to the conditional variance equation an ...
286 views

### How to test homoscedasticity when the errors are DEPENDENT?

I have done a linear regression and plot the residuals. I noticed that the errors are dependent(autocorrelated), how could I test homoscedasticity of this series? I read that Breusch-Pagan test only ...
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### Resolving heteroscedasticity in Gamma GLMM glmmTMB

I am investigating the effect of predictor variables population.size (continuous), farm.type (categorical) and control measure y.n (binary) on my response variable outbreak duration (continuous). I ...
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### Dealing with heteroscedasticity and non-normality in a mixed model

I am trying to fit a mixed model (person as random effect) on data which has heteroscedasticity and non-normality. I log-transformed the Y-variable but it did not ...
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### Aggregated Regressors and standard errors

Suppose we have some aggregated regressors and some that vary across all individuals. E.g. individual data on workers and aggregated data on the level of the US-states. We could either account for ...
1 vote
I understand that homoscedasticity, constant variance of the error terms at each different X value, is a key assumption for linear regression. Assume we collected a single data sample $(X,Y)$. The ...