1. V

    Right-skewed DV with heteroskedasticity

    Dear all, I'm looking to fit a linear model for my rather large sample (N=~400) where the dependent variable distribution is right-skewed (satisfaction scores, which have that tendency) and the assumption of homoskedasticity is violated. Now, I do know that log-transforming the DV can help...
  2. N

    Linear regression analysis

    Hi all, I am having problems with analysis. I want to perform a multiple linear regression. 1). The dependent variable and all but one of the independent variables is normally distributed. I was made aware that the independent variables don't have to be normally distributed to use it for a...
  3. I

    Linear regression heteroscedasticity

    How should I handle the violation of this assumption?
  4. T

    Residual Plot Interpretation

    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...
  5. R

    Generalized method of moments/identification through heteroscedasticity

    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...
  6. helgasaraswati

    White Test For Heteroskedasticity In R Commander

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

    Can I use gls if I don't need to use mixed models and var is not structured?

    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...
  8. Y

    Variance ratio and Hurst exponent tests

    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...
  9. L

    Modeling heteroskedasticity for dummies

    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...
  10. N

    Hausman Test - Do I correct for heteroscedasticity and autocorrelation?

    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...
  11. L

    Heteroscedastic variables with linear regression

    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...
  12. 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...
  13. I

    check for Heteroskedasticity?

    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...
  14. G

    Newey and West in panel data

    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...
  15. C

    Need HELP with my model!! PLEASE

    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...
  16. M

    test for heteroscedasticity in Ordered Probit model?

    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
  17. S

    A particular type of random coefficient regression

    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...
  18. B

    Using regressions in monte carlo simulations

    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...
  19. K

    SAS proc reg/spec - Why are binary predictors flagged for singular matrix?

    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...