Questions tagged [heteroscedasticity]

Non-constant variance along some continuum in a random process, or varying between discrete groups

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The value of scale parameter σ in accelerated failure time model

my model follows Weibull distribution, my question about σ is when we could replace it with one and when we may consider it a scale parameter?
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Assumptions of Linear Regression (homoscedasticity and normality of residuals)

I am confused about some assumptions of linear regression: homoscedasticity and residuals are normally distributed. These two require residuals, but to get the residuals, we need to fit the model ...
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Residuals changes with Predicted values range in LGBM regressor

I am doing a regression problem where the target variable ranges between 0.01 to 0.15. The model gives the best value when the predicted value is around 0.1. Plotting the residuals seems to show ...
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Does this graph show heteroscedasticity or homoscedasticity?

So I am using stock data for certain stocks over a period of about 13 years and now i want to check for heteroscedasticity and auto-correlation on stata. residual vs. fitted value is shown below. ...
519 views

Welch t-test p-values are poorly calibrated for $N=2$ samples

I am performing a large number of Welch's t-tests (t-test with unequal variance) on very small sample sizes, often with only two samples per condition. I am finding the p-values are poorly calibrated: ...
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Which Levene statistic do I report?

I am writing a paper comparing quantitative values across $5$ groups. I have performed an ANOVA in SPSS 29 and have requested from the software the Levene statistic to judge if there is homogeneity in ...
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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 ...
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Heteroscedasticity and Serial correlation test

Let’s consider linear regression model, estimated using OLS. According to information from Hayashi (Econometrics, Chapter 2) it must be the case of no serial correlation in errors to perform White’s ...
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Difference between heteroskedasticity and overdispersion

Are both terms equivalent? They seem very similar to me. Or does one imply the other?
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