liang.che at us.pwc.com
2012-Oct-08 13:54 UTC
[R] time series data failing non-constant variance test
For a set of data showing seasonality (related to the 4th quarter),
ncv
test shows p-value of 0.008 which rejects the null hypothesis of
constant-variance. Currently a linear LM relationship is being
applied to
the data.
Should white's error be used to correct the non-constant variance? Are
the p-values of the coefficients unreliable?
thanks
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