1. I

    Linear regression assumption

    How can I handle heteroskedasticity?
  2. M

    How to split residuals into groups for the Brown-Forsythe test

    I have the following data id 1 2 3 4 5 6 7 8 9 10 11 12 num. responses 16 14 22 10 14 17 10 13 19 12 18 11 cost 77 70 85 50 62 70 55 63 88 57 81 51 I fitted the linear regression model and I got the following residuals: 5.22478992, 4.76260504, -6.38865546...
  3. K

    Robust Regression v. Transformation of Variable (or both?)

    Hello everyone, I have a question about a regression I am running. I believe it's a pretty basic question, although after a couple hours searching I couldn't find the answer. I ran a regression in my software program (STATA) and saw that there are some concerns about heteroskedasticity...
  4. M

    Granger Causality and Heteroskedasticity

    Hello! My name is Magdalena and I have the following problem; I have daily returns of 60 firms from the year 2000 to 2015. My aim is to test for granger causality between them and to see which firms are leaders or followers over different time periods. I would like to test for Granger...
  5. D

    Error term in log-level models?

    I am running a decomposition of log wages for two time periods and want to explain the variance of the error term. My question is: If there is a wage growth trend, will this automatically increase the variance of my error term over time (keeping the explanatory power of other variables in the...
  6. D

    Understanding Heteroskedasticity

    For the following statements I need to state whether they are true or false with brief reasoning: a) “If heteroskedasticity is present, the conventional t and F tests are invalid.” b) “In the presence of heteroskedasticity, OLS always overestimates the standard errors of the estimators.” c)...
  7. C

    Modeling ARCH effects in Vector Autoregression

    Hi all, I have constructed a VAR(p) model with 3 time series in Stata. When I predict the residuals and run an AR(p) model (with p=1, 2, 3, and 4) on the residuals, I get significant lag coefficients (i.e. ARCH effects). I learned that I could now model the residuals using those AR(p)...
  8. U

    Testing heteroskedasticity in a bootstrapped quantile regression

    Hi, I am currently using stata to perform some regressions, and need help on how to perform specific tests on bootstrapped quantile regressions. I have a dataset with 31variables, most of which are dummies, and 1600 obs. I am looking to perform quantile regressions as the distribution is...
  9. L

    hausman vs xtoverid test

    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...
  10. E

    Interpreting White test for heteroskedasticity

    Hello, i am using Gretl software and run a OLS regression on a set of panel data. I am trying to find out if there is hetereskedasticity in the model, but I do not know how to interpret the outcome of White test. It says: Null hypothesis: heteroskedasticity not present Test...
  11. A

    using vce(robust) in a nbreg

    Greetings! I'm just wondering if there is a test to run that will show if I should incorporate vce(robust) into my nbreg model. The reason I ask is because when I do not include vce(robust), I get p=.13. When I include vce(robust), I get p=.021. I've looked at AIC and BIC values and they do...