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 ______________________________________________________________________ The information transmitted, including any attachments, is intended only for the person or entity to which it is addressed and may contain confidential and/or privileged material. Any review, retransmission, dissemination or other use of, or taking of any action in reliance upon, this information by persons or entities other than the intended recipient is prohibited, and all liability arising therefrom is disclaimed. If you received this in error, please contact the sender and delete the material from any computer. PricewaterhouseCoopers LLP is a Delaware limited liability partnership. This communication may come from PricewaterhouseCoopers LLP or one of its subsidiaries. [[alternative HTML version deleted]]