Testing for normality of residuals in a regression model
Liaw, Andy wrote:
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Also, I was told by someone very smart that fitting OLS to data with heteroscedastic errors can make the residuals look `more normal' than they really are... Don't know how true that is, though.
Certainly true, since the residuals will be a kind of average, so the CLT works. (Think that is in Seber, Linear Regression Analysis, 1977) Kjetil
Best, Andy
Kjetil Halvorsen.
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