## 5.17 Checking the constant variance assumption

Not only does the assumption $$\epsilon \sim N(0, \sigma^2)$$ imply normality of errors, it also implies that the variance of the errors ($$\sigma^2$$) is the same for every observation. In particular, since observations have different predictor values, this implies that the variance does not depend on any of the predictors or on the fitted values (which are linear combinations of predictor values). This is the constant variance (or homoscedasticity) assumption. For example, in Figure 5.36, the SLR on the left meets the constant variance assumption while the one on the right does not.

### 5.17.1 Impact of non-constant variance

A violation of the constant variance assumption results in inaccurate confidence intervals and p-values, even in large samples, although regression coefficient estimates will still be unbiased .

### 5.17.2 Diagnosis of non-constant variance

In a SLR, the errors are assumed to have about the same amount of vertical variation from the regression line no matter where you are on the line, and this can be easily visualized, as in Figure 5.36, since there is just one predictor. In MLR, we visually diagnose the appropriateness of the constant variance assumption by examining a plot of residuals vs. fitted values (and, if we want to dig deeper, plots of residuals vs. each predictor) using car::residualPlots() . If the constant variance assumption is met, the spread of the points in the vertical direction should not vary much as you move in the horizontal direction.

Example 5.1 (continued): Evaluate the constant variance assumption for the MLR of fasting glucose on waist circumference, smoking status, age, gender, race, and income.

The residual vs. fitted value plot leads to the conclusion that we have non-constant variance since the variance is larger for larger fitted values (Figure 5.37).

# Residuals vs. fitted values
# fitted = T requests the residual vs. fitted plot
# terms = ~ 1 suppresses residual vs. predictor plots
# tests = F and quadratic = F suppresses hypothesis tests
# (see ?car::residualPlots for details)
car::residualPlots(fit.ex5.1,
pch=20, col="gray",
fitted = T, terms = ~ 1,
tests = F, quadratic = F)

Examine residual vs. predictor plots for each predictor to see if the non-constant variance problem is related to any predictors more than others (Figure 5.38). In this example, these plots do not seem to add any information to the residual vs. fitted plot shown in Figure 5.37.

# Residuals vs. predictors
# fitted = F suppresses the residual vs. fitted plot
# ask = F prevents R from pausing and asking you to press
#     "Enter" to see additional plots
# layout = c(3,2) tells R to plot 6 panels per plot
#     in 3 rows and 2 columns
car::residualPlots(fit.ex5.1,
pch=20, col="gray",
fitted = F,
ask = F, layout = c(3,2),
tests = F, quadratic = F)

You can get all of these plots with one call to car::residualPlots() using the following syntax.

# Residuals vs. fitted, Residuals vs. predictors
car::residualPlots(fit.ex5.1,
pch=20, col="gray",
fitted = T,
ask = F, layout = c(2,2),
tests = F, quadratic = F)

### 5.17.3 Potential solutions for non-constant variance

• Variance stabilizing transformation: A transformation of the outcome $$Y$$ used to correct non-constant variance is called a “variance stabilizing transformation.” Again, common transformations are the natural logarithm, square root, inverse, and Box-Cox (Section 5.18).
• Advanced methods such as weighted or generalized least squares can be used to handle non-constant variance. These methods are beyond the scope of this text but see, for example, the weights option in ?lm, How to address heteroscedasticity in linear regression with R (accessed June 14, 2022), and ?nlme::gls .
• Non-constant variance may co-occur with non-linearity and/or non-normality. Again, check all the assumptions, resolve the most glaring assumption failure first, and then re-check all the assumptions.

### References

Fox, John, and Sanford Weisberg. 2019. An R Companion to Applied Regression. 3rd ed. Los Angeles: Sage Publications, Inc.
Fox, John, Sanford Weisberg, and Brad Price. 2023. Car: Companion to Applied Regression. https://r-forge.r-project.org/projects/car/.
Hayes, Andrew F., and Li Cai. 2007. “Using Heteroskedasticity-Consistent Standard Error Estimators in OLS Regression: An Introduction and Software Implementation.” Behavior Research Methods 39 (4): 709–22. https://doi.org/10.3758/BF03192961.
Pinheiro, José, Douglas Bates, and R Core Team. 2023. Nlme: Linear and Nonlinear Mixed Effects Models. https://svn.r-project.org/R-packages/trunk/nlme/.
White, Halbert. 1980. “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity.” Econometrica 48 (4): 817–38. https://doi.org/10.2307/1912934.