Displaying 20 results from an estimated 3000 matches similar to: "Introducing skedastic: Heteroskedasticity Diagnostics for Linear Regression Models"
2010 Dec 27
0
Heteroskedasticity and autocorrelation of residuals
Hello everyone,
I'm working on a current linear model Y = a0 + a1* X1 + ... + a7*X7 +
residuals. And I know that this model presents both heteroskedasticity
(tried Breusch-Pagan test and White test) and residuals autocorrelation
(using Durbin Watson test). Ultimately, this model being meant to be used
for predictions, I would like to be able to remove this heteroskedasticity
and residuals
2008 Apr 26
0
Help with simulation of heteroskedasticity
Hello guys!
Sorry to bother with such a question
I was trying to generate a monte carlo simulation with heteroskedasticity
errors. but I am not sure if the command line that I had
wrote is quite correct.
the type of heteroskedasticity that I want to create is such as var(e) =
var(x^4)
I began my work with this
x<- rnorm (100, 2,0.4) # generating an indepedent random variable
e<-
2012 Apr 15
0
correct standard errors (heteroskedasticity) using survey design
Hello all,
I'm hoping someone can help clarify how the survey design method works in
R. I currently have a data set that utilized a complex survey design. The
only thing is that only the weight is provided. Thus, I constructed my
survey design as:
svdes<-svydesign(id=~1, weights=~weightvar, data=dataset)
Then, I want to run an OLS model, so:
fitsurv<-svyglm(y~x1+x2+x3...xk,
2010 Mar 22
0
using lmer weights argument to represent heteroskedasticity
Hi-
I want to fit a model with crossed random effects and heteroskedastic
level-1 errors where inferences about fixed effects are of primary
interest. The dimension of the random effects is making the model
computationally prohibitive using lme() where I could model the
heteroskedasticity with the "weights" argument. I am aware that the weights
argument to lmer() cannot be used to
2011 Jul 25
1
predict() and heteroskedasticity-robust standard errors
Hello there,
I have a linear regression model for which I estimated
heteroskedasticity-robust (Huber-White) standard errors using the
coeftest function
in the lmtest-package.
Now I would like to inspect the predicted values of the dependent
variable for particular groups and include a confidence interval for
this prediction.
My question: is it possible to estimate confidence intervals for the
2011 Nov 23
0
Error using coeftest() with a heteroskedasticity-consistent estimation of the covar.
Hey
I am trying to run /coeftest()/ using a heteroskedasticity-consistent
estimation of the covariance matrix and i get this error:
# packages
>library(lmtest)
>library(sandwich)
#test
> coeftest(*GSm_inc.pool*, vcov = vcovHC(*GSm_inc.pool*, method="arellano",
> type="HC3"))
/Fehler in 1 - diaghat : nicht-numerisches Argument f?r bin?ren Operator/
something like:
2000 Dec 07
2
Heteroskedasticity in R
Hi all,
I just discovered R a couple of days ago and I must say it rocks. I've been
looking for heteroskedasticity tests and couldn't find any, however.
Particularly, I've been told in one of my courses on econometrics of White's
method (>< white.test()).
The test's statistic is beta / sqrt(W), where W is Var(beta) "? la White",
that is the beta(i) matrix is
2011 Nov 24
1
CAPM-GARCH - Regression analysis with heteroskedasticity
Hey Guys,
i want to do a CAPM-GARCH model. I didn?t find anything posted online.
(If there is something - shame on me - i didn?t find it.)
My Problem: What is the difference if I let the residuals ?e? follow a
garch process ?
How do I do my regression analysis now? I began reading about regression
analyis with heteroscedasticity, but didn?t get it.
So i started programming.
First
2009 Jun 26
1
Heteroskedasticity and Autocorrelation in SemiPar package
Hi all,
Does anyone know how to report heteroskedasticity and autocorrelation-consistent standard errors when using the "spm" command in SemiPar package? Suppose the original command is
sp1<-spm(y~x1+x2+f(x3), random=~1,group=id)
Any suggestion would be greatly appreciated.
Thanks,
Susan
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2010 Dec 20
1
After heteroskedasticity correction, how can I get new confidential interval?
I just corrected std.error of my 'model'(Multi Regression).
Then how can I get new t and p-values?
Isn't there any R command which shows new t and p values?
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2004 Jul 21
2
Testing autocorrelation & heteroskedasticity of residuals in ts
Hi,
I'm dealing with time series. I usually use stl() to
estimate trend, stagionality and residuals. I test for
normality of residuals using shapiro.test(), but I
can't test for autocorrelation and heteroskedasticity.
Is there a way to perform Durbin-Watson test and
Breusch-Pagan test (or other simalar tests) for time
series?
I find dwtest() and bptest() in the package lmtest,
but it
2006 Apr 25
5
Heteroskedasticity in Tobit models
Hello,
I've had no luck finding an R package that has the ability to estimate a
Tobit model allowing for heteroskedasticity (multiplicative, for example).
Am I missing something in survReg? Is there another package that I'm
unaware of? Is there an add-on package that will test for
heteroskedasticity?
Thanks for your help.
Cheers,
Alan Spearot
--
Alan Spearot
Department of Economics
2009 Sep 18
1
some irritation with heteroskedasticity testing
Dear all,
Trying to test for heteroskedasticity I tried several test from the
car package respectively lmtest. Now that they produce rather
different results i am somewhat clueless how to deal with it.
Here is what I did:
1. I plotted fitted.values vs residuals and somewhat intuitively
believe, it isn't really increasing...
2. further I ran the following tests
bptest (studentized
2002 Mar 22
3
heteroskedasticity-robust standard errors
I am trying to compute the white heteroskedasticity-robust standard errors
(also called the Huber standard errors) in a linear model, but I can't seem
to find a function to do it. I know that the design library in S+ has
something like this (robcov?), but I have not yet seen this library ported
to R.
Anyone know if there is already a function built into R to do this
relatively simple job?
2010 Jul 18
6
CRAN (and crantastic) updates this week
CRAN (and crantastic) updates this week
New packages
------------
* allan (1.0)
Alan Lee
http://crantastic.org/packages/allan
Automates Large Linear Analysis Model Fitting
* andrews (1.0)
Jaroslav Myslivec
http://crantastic.org/packages/andrews
Andrews curves for visualization of multidimensional data
* anesrake (0.3)
Josh Pasek
http://crantastic.org/packages/anesrake
This
2010 Mar 14
3
CRAN (and crantastic) updates this week
CRAN (and crantastic) updates this week
New packages
------------
* apcluster (1.0.1)
Ulrich Bodenhofer
http://crantastic.org/packages/apcluster
The apcluster package implements Frey's and Dueck's Affinity
Propagation clustering in R. The algorithms are analogous to the
Matlab code published by Frey and Dueck.
* BioPhysConnectoR (1.6-1)
Franziska Hoffgaard
2012 May 20
1
CRAN (and crantastic) updates this week
CRAN (and crantastic) updates this week
New packages
------------
* bisectr (0.0.2)
Maintainer: Winston Chang
Author(s): Winston Chang <winston at stdout.org>
License: GPL-2
http://crantastic.org/packages/bisectr
Tools to find bad commits with git bisect
* CUMP (1.0)
Maintainer: Xuan Liu
Author(s): Xuan Liu <liuxuan at bu.edu> and Qiong Yang <qyang at bu.edu>
2009 Sep 27
3
CRAN (and crantastic) updates this week
CRAN (and crantastic) updates this week
New packages
------------
* bdoc (1.0)
Michael Anderson
http://crantastic.org/packages/bdoc
This package contains a function that will classify DNA barcodes as
well as a few test and reference data sets.
* bdsmatrix (1.0)
Terry Therneau
http://crantastic.org/packages/bdsmatrix
This is a special case of sparse matrices, used by coxme and
2010 Aug 22
2
CRAN (and crantastic) updates this week
CRAN (and crantastic) updates this week
New packages
------------
* DCGL (1.0)
Bao-Hong Liu
http://crantastic.org/packages/DCGL
Functions for basic differential coexpression analyses: gene
filtering, link filtering, DCG (Differentially-Coexpressed Gene)
identification and DCL (Differentially-Coexpressed Links)
identification.Two algorithms,named DCP and DCe, are provided for
2012 Mar 11
1
CRAN (and crantastic) updates this week
CRAN (and crantastic) updates this week
New packages
------------
* EffectStars (1.0)
Maintainer: Unknown
Author(s): Gunther Schauberger
License: GPL-2
http://crantastic.org/packages/EffectStars
The package provides functions to visualize regression models with
categorical response. The effects of the covariates are plotted with
star plots in order to allow for an optical