heteroscedasticity

I'm fairly new to statistics as a whole so you'll have to excuse my ignorance if this is an easier answer than I've been making it to be... I have an OLS regression. The fitted-observed and fitted-residuals plots are below. Needless to say the data is non-normal. Is there anything I can do to...

Hello to all :) First of all sorry for my poor english. I am sadly not a native english speaker. Right now I am doing an event-study for my thesis. It focuses on the impact of the ECB on the german stock market. I found many different approaches but the approach to use the GMM seems to be...

I am trying to realize the white test on my linear model with R and White Test For Heteroskedasticity In R Commander

I have a continuous variable that is related to a covariable linearly. I need to compare this relationship between months (24 months), but the dataset is very heterogeneous: the sample size is different (very) between months and the covariate range is also different between months, obviously...

Hi, I have used the Chow Denning test and the Hurst exponent (Peng, Whittle and R/S methods) to examine if a particular time series follows a random walk. My results are conflicting between the 2 tests. From what I can fathom, the Hurst exponent does account for multiple variances (although I...

Hello there! Im trying to model heteroskedasticity with known form using MATLAB. The only source I found was a uni-variate example, but Im working with multiple-variate models. http://www.econometricsbysimulation.com/2012/11/modeling-heteroskedasticity.html My questions are the...

Hi fella's! I am currently working on a regression analysis of a demand curve and i'm trying to test endogeneity (because I expect the price to be related to the supply curve). I'm trying to test this via the Hausman test. The problem is: I've found heterescedasticity in my model and until...

Hi, I'm a stat beginner and learning about linear regression. Regarding heteroscedastic variables (i.e. variables with different levels of residuals throughout the population). I can identify them by looking at the scatter or plotting residuals. A couple of questions I have are...

Hi there, I'm a new user to stata so please forgive the really basic question here. I received this output when i keyed in the hausman test: "hausman cannot be used with vce(robust), vce(cluster cvar), or p-weighted data" I have used the robust command for both the fixed effects and...

Hi guys, just a quick question - I need to find out whether there is Heteroskedasticity in my data. I did a scatterplot of standardised residuals on standardised predicted values, in order to check whether the data is "fanning out"... I don´t think so, but I just wanted to double-check with...

Morning, I am working on a panel data and i am finding serial correlation and heteroscedasticity. To obtain right regression i would like to use the Newey and West method. So i use the command "newey2 ..., lag(#)". I though that the newey and west method just change the standard error...

Hi everyone, I am stuck in my model, it's been more than two years that I have not had any econometric courses and I have forgotten some parts... So, here's the thing: I want to see the effect of the farmland values on the urban sprawl and as a proxy of sprawl, I am using the "land permits" data...

hi Anyone knows how to perform a test for heteroscedasticity in a ordered probit model in R? I tried to use bptest(model) and I tried plot(model, which=1), but these comands only seem to work for linear models..! Kind Regards Maria

Hi all, I have the model of type Y_i=Beta_0_i+Beta_1_i*X1_i+...+Beta_k_i*X_k_i, for i=1:n There is no error term in this model, but for each person the betas are from a multivariate distribution. I am ultimately interested in estimating the vector of mean for betas. If we rearrange...

Hey Guys, I'm building a valuation model with monte carlo and regression elements but could use a bit of help. The model breaks down the firm's revenue and costs by product. To estimate the cost of producing each product (cost per unit), I've regressed unit sales of each product against...

Hello all - I am building a simple linear regression model (OLS) with both continuous and binary independent variables paired with a continuous dependent variable. All binary variables are dummy coded as 0/1. I am using the SPEC option of PROC REG in SAS/STAT 9.2 to run the White test for...