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Plot with random data showing heteroscedasticity: The variance of the y-values of the dots increases with increasing values of x. In statistics , a sequence of random variables is homoscedastic ( / ˌ h oʊ m oʊ s k ə ˈ d æ s t ɪ k / ) if all its random variables have the same finite variance ; this is also known as homogeneity of variance.
Plot with random data showing heteroscedasticity: The variance of the y-values of the dots increases with increasing values of x. In statistics , a sequence of random variables is homoscedastic ( / ˌ h oʊ m oʊ s k ə ˈ d æ s t ɪ k / ) if all its random variables have the same finite variance ; this is also known as homogeneity of variance .
Statistical testing for a non-zero heterogeneity variance is often done based on Cochran's Q [13] or related test procedures. This common procedure however is questionable for several reasons, namely, the low power of such tests [14] especially in the very common case of only few estimates being combined in the analysis, [15] [7] as well as the specification of homogeneity as the null ...
The Brown–Forsythe test uses the median instead of the mean in computing the spread within each group (¯ vs. ~, above).Although the optimal choice depends on the underlying distribution, the definition based on the median is recommended as the choice that provides good robustness against many types of non-normal data while retaining good statistical power. [3]
Heteroskedasticity-consistent standard errors are used to allow the fitting of a model that does contain heteroskedastic residuals. The first such approach was proposed by Huber (1967), and further improved procedures have been produced since for cross-sectional data, time-series data and GARCH estimation.
Empirical legal studies (ELS) is an approach to the study of law, legal procedure, and legal theory through the use of empirical research. [1] Empirical legal researchers use research techniques that are typical of economics, psychology, and sociology; however, ELS research tends to be more focused on purely legal questions than the related fields of law and economics, legal psychology, and ...
Generally, when testing for heteroskedasticity in econometric models, the best test is the White test. However, when dealing with time series data, this means to test for ARCH and GARCH errors. Exponentially weighted moving average (EWMA) is an alternative model in a separate class of exponential smoothing models. As an alternative to GARCH ...
[7] [8] [9] If the data contains potential outliers, if the population distributions have heavy tails, or if the population distributions are significantly skewed, the Kruskal-Wallis test is more powerful at detecting differences among treatments than ANOVA F-test. On the other hand, if the population distributions are normal or are light ...