Summary

set.seed(127)
x<-seq(1,200,1)
err<-NULL
for(iinc(1:200)){
err[i]<-rnorm(1,0,i)
}
y<-3.8*x+25+err;
#Auxilliary regression
naivelm<-lm(y~x)
absresid<-abs(naivelm$residuals)
auxreg<-lm(absresid~x+0)
#no hsked
errno<-NULL
for(iinc(1:200)){
errno[i]<-rnorm(1,0,15)
};
yn<-3.8*x+25+errno;
par(mfrow=c(2,1))
plot(absresid~x,pch=20,main="Heteroskedastic Residuals",ylab="Absolute Value of Residuals")
abline(coef=c(0,auxreg$coefficients),col=2)
plot(abs(lm(yn~x)$residuals)~x,pch=20,main="Homoskedastic Residuals",ylab="Absolute Value of Residuals")
abline(coef=c(lm(abs(lm(yn~x)$residuals)~x)$coefficients),col=2,lty=2);

Licensing