Psychological Methods © 2013 American Psychological Association

2013, Vol. 18, No. 3, 335–351 1082-989X/13/$12.00 DOI: 10.1037/a0032553

Managing Heteroscedasticity in General Linear Models

Patrick J. Rosopa Meline M. Schaffer

Clemson University Walmart, Bentonville, Arkansas

Amber N. Schroeder
Western Kentucky University

Heteroscedasticity refers to a phenomenon where data violate a statistical assumption. This assumption
is known as homoscedasticity. When the homoscedasticity assumption is violated, this can lead to
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increased Type I error rates or decreased statistical power. Because this can adversely affect substantive
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conclusions, the failure to detect and manage heteroscedasticity could have serious implications for
theory, research, and practice. In addition, heteroscedasticity is not uncommon in the behavioral and
social sciences. Thus, in the current article, we synthesize extant literature in applied psychology,
econometrics, quantitative psychology, and statistics, and we offer recommendations for researchers and
practitioners regarding available procedures for detecting heteroscedasticity and mitigating its effects. In
addition to discussing the strengths and weaknesses of various procedures and comparing them in terms
of existing simulation results, we describe a 3-step data-analytic process for detecting and managing
heteroscedasticity: (a) fitting a model based on theory and saving residuals, (b) the analysis of residuals,
and (c) statistical inferences (e.g., hypothesis tests and confidence intervals) involving parameter
estimates. We also demonstrate this data-analytic process using an illustrative example. Overall, detect-
ing violations of the homoscedasticity assumption and mitigating its biasing effects can strengthen the
validity of inferences from behavioral and social science data.

Keywords: heteroscedasticity, heterogeneity of variance, nonconstant variance, homoscedasticity, homo-

geneity of variance

Empirical tests of theoretical models in the behavioral sciences
often rely on assumptions to ensure the accuracy of estimated
parameters and statistical tests. In general linear models, one of the
most frequently used data-analytic procedures in psychology and
related disciplines (Cohen, Cohen, West, & Aiken, 2003; Dawes &
Corrigan, 1974; DeShon & Morris, 2004; Judd, 2000; Stone-
Romero, Weaver, & Glenar, 1995), an important assumption is
that of homoscedasticity (often reserved for linear regression) or
homogeneity of variance (often reserved for analysis of variance;
Fox, 2008; King, Rosopa, & Minium, 2010; Rencher, 2000). When
this assumption is violated, it is typically referred to as heterosce-
dasticity or heterogeneity of variance, respectively, and leads to
incorrect standard errors, which can cause inflated Type I error
Patrick J. Rosopa, Department of Psychology, Clemson University;
Meline M. Schaffer, Global Organizational Effectiveness, Walmart, Ben-
tonville, Arkansas; Amber N. Schroeder, Department of Psychology, West-
ern Kentucky University.
Portions of this article were presented at the 25th Annual Conference of
the Society for Industrial and Organizational Psychology in Atlanta, Geor-
gia. We would like to thank Huy Le, Rich Pak, Xiaogang Su, Kevin Stagl,
and Tom Zagenczyk for their constructive comments on earlier versions of
the manuscript.
Correspondence concerning this article should be addressed to Patrick J.
Rosopa, Department of Psychology, College of Business & Behavioral
Science, Clemson University, 418 Brackett Hall, Clemson, SC 29634-
1355. E-mail: prosopa@clemson.edu
rates or decreased statistical power (Box, 1954; DeShon & Alex-
ander, 1996; White, 1980; Wilcox, 1997). Because this can ad-
versely affect substantive conclusions, the failure to detect and
manage heteroscedasticity could have serious implications for
theory, research, and practice. In addition, heteroscedasticity is not
uncommon in psychology and allied fields (see Aguinis & Pierce,
1998; Alexander & Govern, 1994; Antonakis & Dietz, 2011; Cai
& Hayes, 2008; DeShon & Alexander, 1996; Ghiselli & Sanders,
1967; Grissom, 2000; Kahneman & Ghiselli, 1962; Olejnik, 1988;
Overton, 2001; Rosopa, 2006). Therefore, in the current article, we
review research in applied psychology, econometrics, quantitative
psychology, and statistics, and we offer recommendations for
researchers and practitioners regarding available procedures for
detecting and managing heteroscedasticity.
Our article is organized in the following manner. First, we
provide a description of homoscedasticity and heteroscedasticity.
Second, we describe how heteroscedasticity can manifest in sta-
tistical models commonly used to analyze data in the behavioral
and social sciences. Third, we describe how heteroscedasticity can
serve as a useful indicator in the initial stages of research design.
Fourth, based on a review of extant literature, we describe the
data-analytic process for managing heteroscedasticity. In addition,
we integrate an illustrative example of the data-analytic process.
Homoscedasticity Versus Heteroscedasticity
In general linear models, homoscedasticity is an assumption that
is required to ensure the accuracy of standard errors and asymp-
totic covariances among estimated parameters. With heteroscedas-

335
 336 ROSOPA, SCHAFFER, AND SCHROEDER
ticity, although estimated parameters remain unbiased and are
consistent, the estimated covariance matrix among the parameter
estimates will be incorrect (Rencher, 2000). This can lead to low
statistical power or inflated Type I error rates (Box, 1954; DeShon
& Alexander, 1996).
Formally, the general linear model for N observations and p
predictors (or regressors) can be compactly expressed in matrix
form as
y ⫽ X␤ ⫹ ␧, (1)
where y is an N ⫻ 1 response vector, X is an N ⫻ (p ⫹ 1) model
matrix that includes a leading column vector of 1s, ␤ is a (p ⫹
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1) ⫻ 1 vector of unknown parameters (viz., ␤0, ␤1, . . ., ␤p) to be
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estimated, and ␧ is an N ⫻ 1 vector of population errors. Estima-
tion of ␤ is important for arriving at an estimate of ␧. Procedures
for the unbiased estimation of ␤ are described elsewhere (see, e.g.,
Cohen et al., 2003; Rencher, 2000; Seber & Lee, 2003).
Of particular interest in the present article are the population
errors (i.e., ␧) in Equation 1, which are assumed to follow the same
distribution. That is, the εis (for i ⫽ 1, 2, . . ., N) are assumed to
follow a normal distribution and be independently and identically
distributed with a mean of 0 and a common variance of ␴2 (Fox,
2008; Rencher, 2000; Seber & Lee, 2003).1 This last assumption of
a common variance is homoscedasticity. Stated differently, in the
general linear model, ␧ is assumed to have a diagonal N ⫻ N
covariance matrix given by
冢 冣
␴2 0 · · · 0
0 ␴2 · · · É
cov(␧) ⫽ ␴2IN ⫽ , (2)
É É 0 Models
0 0 · · · ␴2
where IN ⫽ an identity matrix of order N (Fox, 2008; Rencher,
2000; Seber & Lee, 2003). Note the common variance on the main
diagonal in Equation 2. In contrast, heteroscedasticity is said to
exist when the variances are no longer the same. In matrix form,
this can be denoted by
冢 冣冢 冣
w1 0 ··· 0 ␴21 0 · · · 0
0 w2 · · · É 0 ␴22 ··· É
cov(␧) ⫽ ␴2V ⫽ ␴2 ⫽ ,
É É 0 É É 0
0 0 · · · wN 0 0 · · · ␴N2
(3)
where V is an N ⫻ N diagonal matrix, wi represents an arbitrary
scaling factor, and we use a normalization, tr(V) ⫽ N. We can
conveniently express ␴i2 ⫽ ␴2wi. With heteroscedasticity, ␴i2 ⫽
␴i⬘2 for some i and i=. Note that, when wi ⫽ 1 (for all N observa-
tions), Equation 3 reduces to Equation 2 for the usual homosce-
dastic linear model (Rencher, 2000; Seber & Lee, 2003).2
Notably, the population errors (i.e., εis) are not directly observed
in a sample (Cook & Weisberg, 1982). However, as mentioned
above, with an estimate of ␤, say, ␤ˆ (by the method of ordinary
least squares), we can obtain sample-based estimates of the errors
known as residuals (ei) to infer the appropriateness of the assump-
tions regarding the population errors (Cook & Weisberg, 1982).
Then, with the N ⫻ 1 vector of residuals (viz., e ⫽ y ⫺ X␤ˆ ), an
unbiased estimator of the common ␴2, based on an average of the
squared eis (i.e., the mean square error), can be denoted by
ˆ
(y ⫺ X␤)
(y ⫺ X␤) ˆ
␴
ˆ2⫽ . (4)
N⫺p⫺1
With Equation 4, we can estimate the (p ⫹ 1) ⫻ (p ⫹ 1)
covariance matrix among the regression coefficients with the
usual estimator (Fox, 2008; Rencher, 2000; Seber & Lee, 2003)
denoted by
cov共␤
ˆ兲 ⫽ ␴
ˆ 2共X
X兲⫺1 . (5)
With heteroscedasticity, however, the elements in Equation 5 will
be incorrect, with the standard errors (viz., the square root of the
diagonal elements in cov共␤兲) ˆ generally being too large (viz.,
inefficient). Thus, statistical inferences (e.g., hypothesis tests, con-
fidence intervals) will be incorrect (Fox, 2008; Rencher, 2000;
Seber & Lee, 2003).
To detect violations of homoscedasticity in a sample, the resid-
uals (i.e., eis) are needed. The homoscedasticity assumption is said
to be tenable when the spread of residuals is approximately con-
stant across all predictors, combinations of predictors, and pre-
dicted values (Darlington, 1990; Fox, 2008). When the spread of
the residuals is no longer approximately constant (e.g., wedge-
shaped or butterfly-shaped pattern), heteroscedasticity is said to
exist.
Heteroscedasticity in Commonly Used Statistical
Heteroscedasticity can manifest in statistical models used for
analyzing data in the behavioral and social sciences. Because
heteroscedasticity can take various forms, in the following sec-
tions, we provide examples of different patterns of heteroscedas-
ticity using three statistical approaches subsumed by the general
linear model (see Equation 1): (a) testing for the equality of two
independent means, (b) simple linear regression, and (c) analysis
of covariance.
Testing for the Equality of Two Independent Means
With two independent samples of observations on y, researchers
may be interested in testing the equality of two independent
population means (i.e., H0: ␮1 ⫽ ␮2). When testing for the equality
of two independent means, p ⫽ 1, and the model matrix (X) in
Equation 1 can be expressed as follows:
1
For unbiased parameter estimation, the normality assumption for the
distribution of εis is not required. However, it is a required assumption for
statistical inferences (e.g., hypothesis testing, confidence intervals; see
Rencher, 2000; Seber & Lee, 2003).
2
It deserves noting that when describing the statistical assumption of
homoscedasticity (see Equation 2) and the violation of this statistical
assumption (see Equation 3), it can be further assumed that the conditional
residual variances come from participants, or more generally units (Shad-
ish, Cook, & Campbell, 2002), with an equivalent pattern of scores on the
predictor or predictors (see Cohen et al., 2003; Ghiselli, Campbell, &
Zedeck, 1981).
 MANAGING HETEROSCEDASTICITY 337

冤冥
1 0 and the model matrix (X) in Equation 1 can be expressed as
1 0 follows:
É É

冤 冥
1 x1
X ⫽ 关1 N d 兴 ⫽ 1 0 , 1 x2
1 1 X ⫽ 关1 N x 兴 ⫽ ,
É É
É É
1 xN
1 1
where x is a continuous predictor. Assuming the normality and
where 1N denotes the usual N ⫻ 1 column vector of 1s and d is an homoscedasticity assumptions have been satisfied, the t test with
N ⫻ 1 vector denoting group membership (i.e., a dummy variable) N ⫺ 2 degrees of freedom associated with the regression coeffi-
such that the n 0s (where n ⬍ N) indicate membership in Group 1 cient for x provides the usual test of the null hypothesis that the
and the (N ⫺ n) 1s indicate membership in Group 2. Assuming the
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slope is equal to zero.

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normality and homoscedasticity assumptions have been satisfied,
the t test with N ⫺ 2 degrees of freedom associated with the
regression coefficient for d (i.e., ␤ˆ ⫽ ␮ˆ ⫺ ␮ˆ ) provides the usual
1 2 2
test for the equality of two independent means.
When homoscedasticity is violated, however, Equation 2 no
When homoscedasticity is violated, however, Equation 2 no
longer holds. The variances of the population errors (i.e., ␧) may
be functions of x (e.g., increasing with x). Then, we have a special
case of Equation 3 expressed as
f 共x1兲

冢 冣
longer holds. Instead, the main diagonal has a common variance 0 ··· 0
for Group 1 (1␴2) and a common variance for Group 2 (2␴2) such 0 f 共x2兲 · · · 0
that 1␴2 ⫽ 2␴2.3 Thus, we have a special case of Equation 3 cov(␧) ⫽ ␴2 , (7)
É É Ì É
expressed as
0 0 · · · f 共xN兲

冢 冣
1␴
2
0 ... 0 0
with functions of the xs on the diagonal (Rencher, 2000). When
1␴
2
0 ... É É
evaluated subjectively, Figures 2a and 2b depict plots of the
cov(␧) ⫽ É É Ì . (6) residuals against a continuous predictor in the absence and
2␴
2 presence of heteroscedasticity, respectively, which may occur
... 0
when conducting a simple linear regression. In Figure 2b, the
2␴
2
0 0 ... 0
variability of the residuals increases with x. Although other
For example, if the common variance in Group 1 and Group 2, patterns of heteroscedasticity may manifest (e.g., butterfly
respectively, was three and one, Equation 6 would simply be shape or galaxy shape), Darlington (1990) noted that the “most
common type of heteroscedasticity occurs when . . . [the con-

冢 冣
3 0 ··· 0 0
0 3
··· É É values of some regressor or combination of regressors” (p.
cov(␧) ⫽ É É Ì
··· 1 0
0 0 ··· 0 1
When evaluated subjectively, Figures 1a and 1b graphically depict
the absence and presence of heteroscedasticity, respectively, in a
test of the equality of two independent means.
It deserves noting that the test of the equality of two inde-
pendent means is a special case of analysis of variance
(ANOVA; Fox, 2008; Rencher, 2000). Thus, the model matrix
(X) in Equation 1 can include additional dummy variables (e.g.,
p ⫽ 3) for, say, a one-way ANOVA with four independent
groups. In addition, Equation 6 can be generalized to instances
of heteroscedasticity in a one-way ANOVA, for example, where
the diagonal elements are unequal and change as a function of
group membership.
Simple Linear Regression
When a researcher has scores on a continuous predictor (x),
he or she may be interested in testing whether the slope of x is
zero when predicting y. With simple linear regression, p ⫽ 1,
ditional distribution of y] . . . is largest for the highest or lowest
. 360).4
3
Note that when testing for differences between independent means in the
presence of heteroscedasticity, this has been termed the Behrens–Fisher problem
after the researchers who proposed approximations to the sampling distribution of
the statistic that employed separate variance estimators. Note that the Behrens–
Fisher problem is particularly problematic when sample sizes across groups are
unequal. When the larger variance is paired with the group with the larger sample
size (i.e., direct pairing), Type I error rates become conservative, and ceteris
paribus, power generally decreases. In contrast, when the larger variance is paired
with the group with the smaller sample size (i.e., indirect pairing), Type I error rates
become liberal, and ceteris paribus, power increases (albeit illegitimately). We
thank an anonymous reviewer for highlighting this important point. This has been
studied by Box (1954) and reviewed by Glass, Peckham, and Sanders (1972). The
Behrens–Fisher problem has also been studied when testing for slope differences
(DeShon & Alexander, 1996; Overton, 2001; Rosopa, 2006) and in multivariate
analysis of variance (S. J. Kim, 1992).
4
It deserves mentioning that the standard errors (i.e., the square root of the
diagonal elements in Equation 5) will be affected differently depending on the
degree and the nature of the heteroscedasticity. For example, with butterfly-shaped
heteroscedasticity associated with a regressor, the diagonal element in Equation 5
associated with this regressor will be underestimated. In contrast, with galaxy-
shaped heteroscedasticity associated with a regressor, the corresponding diagonal
element in Equation 5 will be overestimated (Darlington, 1990). See also the
Behrens–Fisher problem in Footnote 3. We thank an anonymous reviewer for
raising this important issue.
 338 ROSOPA, SCHAFFER, AND SCHROEDER

moscedasticity assumptions are met, the t test with N ⫺ 3 degrees

of freedom associated with the regression coefficient for d (i.e., ␤ˆ ) 2
provides the usual test for the equality of the adjusted means. Note
that the unambiguous interpretation of the adjusted means (typi-
cally, at the grand mean of x, x៮) assumes the regression slopes are
the same across groups (Rutherford, 1992). When the regression
slopes are the same, the regression lines for the two groups will be
parallel to one another. That is, when x is used to predict y in
Group 1 and x is used to predict y in Group 2, the population
regression slope associated with x in each group should be the
same to allow for an unambiguous interpretation of the adjusted
mean difference on y between the two groups.
When heteroscedasticity exists, however, Equation 2 no longer
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holds. Although the variances of ␧ could differ in various ways, we

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consider how ␧ may differ within each of two groups. For conve-
nience, assume that xc is placed in ascending order separately
within each group. The n residuals within Group 1 could have

Figure 1. Boxplot of residuals against a categorical predictor with two

levels in the presence of (a) homoscedasticity and (b) heteroscedasticity.
The error bars in Figure 1 depict the minimum and maximum values.

Analysis of Covariance
With analysis of covariance (ANCOVA), researchers are tradi-
tionally interested in whether means across two (or more) inde-
pendent groups differ after adjusting for one or more covariates.
Based on Equation 1, the model matrix (X) for an ANCOVA with
one covariate and two independent groups, with n observations in
Group 1 and (N ⫺ n) observations in Group 2, can be expressed as

冤 冥
1 x1 ⫺ x៮ 0
1 x2 ⫺ x៮ 0
X ⫽ 关1 N x c d 兴 ⫽ ,
É É É
1 xN ⫺ x៮ 1

where xc is the covariate vector of length N expressed in deviation Figure 2. Scatterplot of residuals against a continuous predictor, x, in the
score form (Fox, 2008). Assuming that the normality and ho- presence of (a) homoscedasticity and (b) heteroscedasticity.
 MANAGING HETEROSCEDASTICITY
increasing variability as x increases (see Figure 2b). For Group 2,
the (N ⫺ n) residuals could be fairly constant (i.e., homoscedastic)
or perhaps could have decreasing variability as x increases.
In sum, heteroscedasticity can occur in statistical models com-
monly used in the behavioral and social sciences. Therefore, the
use of data-analytic techniques focused on detecting heteroscedas-
ticity and mitigating its effects is necessary.
Heteroscedasticity as a Signal of Nonstandardized
Treatment Implementation
Although heteroscedasticity can manifest in statistical models
frequently used in the behavioral sciences, it is important to note
that heteroscedasticity can also serve as an indicator of an exper-
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imental treatment that may not have been executed in a standard-
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ized manner (Bryk & Raudenbush, 1988). Consider the following
example. When pilot testing a research protocol, participants are
administered a pretest, are randomly assigned to one of two ex-
perimental conditions, and are then measured on a posttest. Dif-
ferences in the estimated variances of the residuals across the two
experimental conditions could signal that the implementation was
not standardized (e.g., the instructions or the tasks were unclear for
participants in one of the groups). Note that the issue of estimated
mean or slope differences is not the focus here; such parameter
estimates remain unbiased in the presence of heteroscedasticity
(Rencher, 2000). Instead, it is the standard errors and the estimated
covariances among parameter estimates that will be incorrect.
Thus, in the initial research design stage, if the research protocol
(e.g., equipment, scripts, adequate participant practice) can be
executed without inducing heteroscedasticity, this could suggest
that an adequate level of standardization has been achieved. How-
ever, the presence of heteroscedasticity may also indicate that the
treatment effect was not fixed or that all participants did not react
to the treatment in a homogeneous manner. For this reason, the
nature of the heteroscedasticity should be examined further to
determine at which level it occurs. For instance, are there differ-
ences in variability between those who are implementing the
treatment or conducting the experiment, or is the variability be-
tween participants overall? The careful analysis of heteroscedas-
ticity may play an important role in psychological research.
Data-Analytic Process and an Illustrative Example
In this section, we discuss the data-analytic process that can be
employed to diagnose heteroscedasticity and mitigate its effects.
We present a set of procedures based on our synthesis of literature
in applied psychology, econometrics, quantitative psychology, and
statistics, providing a general resource for researchers and practi-
tioners. In particular, we discuss saving residuals (Step 1), analysis
of residuals (Step 2), and statistical inferences involving parameter
estimates (Step 3). In addition, to demonstrate the data-analytic
process while also comparing different procedures, we incorporate
an illustrative example. More specifically, after describing Step 1,
we introduce our illustrative example and apply Step 1 to this data.
Next, we review procedures associated with Step 2, then continue
with the same example and apply Step 2. Finally, we describe
various procedures associated with Step 3 and complete our dem-
onstration by applying the last step to the same example data.
It deserves noting that when the homoscedasticity assumption is
violated, researchers should take corrective action. Consistent with
339
Ohtani and Toyoda (1980) and Ali and Giaccotto (1984), we do
not suggest that researchers assume the presence of heteroscedas-
ticity or assume to know its exact form. Rather, its presence and
form should be diagnosed (Step 2 below), and if present, an
ameliorative procedure applied (Step 3 below).
Step 1. Estimate a Model Based on Theory and Save
Residuals
The first step in examining heteroscedasticity is to estimate a model
that includes relevant predictors based on theory, that is, proper model
specification. From this analysis, the residuals should be saved. Re-
gardless of the complexity of the model, the number of predictors, or
type of predictors (e.g., categorical, continuous) suggested by theory,
the residuals are required to evaluate whether heteroscedasticity ex-
ists.5 All statistical software packages allow the user to save residuals
(e.g., as a new object, a new data file, or an additional column in an
existing file). Note that for some statistical analyses (e.g., ANOVA,
two independent sample t test), it is not necessary to save the residuals
because the variances can be analyzed directly within each of the
independent groups.6
It is important to note that studentized residuals have been
recommended by some researchers (Cook, 1977; Stevens, 1984),
particularly when using graphical approaches to detect heterosce-
dasticity (Fox, 2008). Although internally and externally studen-
tized residuals can be calculated, because the specific type of
residual does not markedly change the data-analytic process, we
direct the interested reader to Belsley, Kuh, and Welsch (1980),
Cook and Weisberg (1982), and Meloun and Militky (2001) for a
discussion of the relative merits of each type.
Illustrative example. In this section, we illustrate how Step 1
is applied to a set of data. For this illustration, participants (N ⫽
78) completed a pretest (x), were randomly assigned to one of two
conditions, and then completed a posttest (y). Those in Group 1
(n ⫽ 40) were in the control group, and those in Group 2 (N ⫺ n ⫽
38) were in the treatment group. A researcher hypothesized that the
slope of the pretest when predicting the posttest would be more
positive in the treatment group compared to the control group. The
data for this illustration can be found in the Appendix, along with
population parameters used to generate this sample of data.
Here, we are testing for the equality of regression slopes with
two independent groups (i.e., an interaction between x and d). This
is, of course, a generalization of ANCOVA, where, instead of
assuming homogeneous regression slopes across the levels of d,
the model allows for the possibility of unequal regression slopes
(Rutherford, 1992). This analysis is also referred to as moderated
multiple regression with a continuous predictor and a categorical
moderator (Aguinis, 2004; Overton, 2001). For our illustration, the
model matrix (X) can be expressed as
X ⫽ 关1 N x d x 䉺 d 兴 , (8)
where 䉺 denotes the Hadamard product (Schott, 2005).
5
Although residuals based on other estimation procedures can be used
to evaluate the tenability of the homoscedasticity assumption, based on
Monte Carlo simulations, Ali and Giaccotto (1984) found that tests that use
ordinary least squares residuals tend to provide the greatest power to detect
heteroscedasticity.
6
We thank an anonymous reviewer for alerting us to this issue.
 340 ROSOPA, SCHAFFER, AND SCHROEDER
Assuming the normality and homoscedasticity assumptions
have been satisfied, the t test on the regression coefficient associ-
ated with the last column in Equation 8 (i.e., ␤ˆ ) with (N ⫺ 4)
3
degrees of freedom provides the usual test for the equality of
regression slopes across the two independent groups (viz., Group
2’s slope ⫺ Group 1’s slope). Note that this analysis is a standard
procedure prior to interpreting a traditional ANCOVA (Ruther-
ford, 1992). That is, prior to interpreting means across independent
groups after adjusting for a covariate, researchers assess whether
slopes are the same across groups. If slopes are not the same across
groups, then the adjusted means will differ depending on the
specific value of a covariate. Notably, testing for the equality of
regression slopes is also commonly used in research on Aptitude ⫻
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Treatment interactions (Smith & Sechrest, 1991) and differential
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prediction (American Educational Research Association, Ameri-
can Psychological Association, & National Council on Measure-
ment in Education, 1999; Saad & Sackett, 2002).
In this example, we used the general linear model where the
model matrix (based on the researcher’s theory) was that shown in
Equation 8. The regression coefficients were estimated using or-
dinary least squares. The overall model was statistically signifi-
cant, F(3, 74) ⫽ 74.53, p ⬍ .001 (R2 ⫽ .75), and the t test
associated with ␤ˆ ⫽ .69 was not statistically significant at ␣
3
(Type I error rate) ⫽ .05, t(74) ⫽ 1.98, p ⬎ .05. However, we
refrain from concluding that the slopes do not differ significantly
from one another because Steps 2 and 3 have not yet been com-
pleted. To complete Step 1, the unstandardized residuals from our
analysis were saved. They appear in the Appendix in the column
labeled RESID.
Step 2. Investigate Compliance With Homoscedasticity
Assumption: Residual Analysis
The next step is to analyze the saved residuals, for which various
approaches exist. Across diverse literatures, we have classified
them into statistical, graphical, and heuristic approaches.
Statistical approaches. Table 1 summarizes the statistical
procedures that we review, including their main strengths and
weaknesses. When the variance of the residuals changes as a
Table 1
Summary of Selected Statistical Approaches for Detecting Heteroscedasticity
Procedure Type of predictors
Bartlett (1937) Categorical
Brown & Forsythe (1974) Categorical
Levene (1960) Categorical
O’Brien (1981) Categorical
Wilcox (2002) Categorical
Score testa Continuous and/or categorical
White (1980) Continuous and/or categorical
a
Developed independently by Breusch and Pagan (1979) and Cook and Weisberg (1983).
function of a categorical predictor (e.g., gender or type of treat-
ment), a number of statistical tests are available. If the normality
assumption has not been violated, Bartlett’s (1937) test has been
shown to be more powerful compared to other procedures (Games,
Winkler, & Probert, 1972). Essentially applying a logarithmic
modification to independent variances, Bartlett’s test is distributed
as ␹2 with degrees of freedom equal to the number of levels of the
categorical predictor minus one. Bartlett’s procedure has also been
recommended by DeShon and Alexander (1996) to detect het-
eroscedasticity between independent groups when testing for slope
differences.
Because Bartlett’s (1937) test is sensitive to nonnormality (Box,
1953; Levene, 1960), other procedures may be recommended when
the variance of the residuals changes as a function of a categorical
predictor. For example, Brown and Forsythe’s (1974) test is consid-
ered robust when data are nonnormal (Conover, Johnson, & Johnson,
1981) and is often used in ANOVA. Note that Brown and Forsythe’s
approach is a modified version of Levene’s (1960) test. Other ap-
proaches have been developed by O’Brien (1981) and Wilcox (2002)
that are robust to violations of the normality assumption.
The Brown and Forsythe (1974) test is relatively easy to calculate
because it is simply an ANOVA on the absolute value of the residuals
around their respective group medians. Thus, it may be quite acces-
sible for a wide variety of researchers and practitioners. Although
O’Brien’s (1981) procedure is not available in statistical software,
Rosopa, Schroeder, and Doll (2013) provided code in R—a free,
open-source, statistical software—that calculates this test. In addition,
O’Brien’s procedure can be used to investigate the main and interac-
tive effects of the variances of the residuals. That is, the residual
variances may change not only due to the effects of two categorical
predictors but also due to their interaction.
Wilcox (2002) described a procedure that can complement the
Brown and Forsythe (1974) test. Specifically, Wilcox showed that
when interest lies in testing the hypothesis of equal variances
across two independent groups, the mean half-square successive
difference statistic, when combined with a modified percentile
bootstrap, performs well in terms of Type I error and probability
coverage. However, this procedure may be limited because it has
not been extended beyond two independent groups.
Strengths (⫹) & weaknesses (⫺)
•Good power levels when data are normal (⫹)
•Sensitive to nonnormality (⫺)
•Computationally simple (⫹)
•Robust when data are nonnormal (⫹)
•Computationally simple (⫹)
•Sensitive to nonnormality (⫺)
•Robust when data are nonnormal (⫹)
•Test for main and interactive effects (⫹)
•Control over Type I and Type II errors (⫹)
•Applicable to two groups only (⫺)
•Flexible approach (⫹)
•Can use fitted values as predictors (⫹)
•Requires normality assumption (⫺)
•Low power (⫺)
•Nondiagnostic (⫺)
 MANAGING HETEROSCEDASTICITY 341

Overall, when residual variances are suspected to change as a
function of a categorical predictor, Bartlett’s (1937) test appears to
be preferred when the normality assumption is met. However, if
the normality assumption is violated, we suggest the use of Brown
and Forsythe’s (1974) procedure. If there are multiple categorical
predictors that may be interacting in their effects on the residual
variances, then we suggest O’Brien’s (1981) test. Based on the
results of the selected statistical approach, if the test is statistically
significant at some predetermined ␣, then heteroscedasticity ap-
pears to be a function of the categorical predictor. Otherwise,
homoscedasticity remains tenable.
When the variance of the residuals changes as a function of a
continuous predictor (e.g., age), categorical predictor (e.g., gender), or
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regression sum of squares (SSR) is required. The test statistic,
(SSR/2) ⫼ (SSE/N)2, is asymptotically distributed as ␹2 with degrees
of freedom equal to the number of variables used to predict the
squared residuals in the second analysis. The score test assumes that
the normality assumption has not been violated.
Although there exists another general test of heteroscedasticity,
developed by White (1980), we are not aware of a general test that
has power levels comparable to the score test. The general test by
White tends to have low power (Ali & Giaccotto, 1984) and is not
diagnostic. That is, if White’s test for heteroscedasticity is rejected,
it remains unknown how the homoscedasticity assumption was
violated. It could be a function of one or more variables (contin-
uous and/or categorical), but it does not specify the cause of

the predicted values, a flexible approach is the score test that was
heteroscedasticity. Therefore, overall, for a general test of het-
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proposed independently in the econometrics (Breusch & Pagan, 1979)

and statistics (Cook & Weisberg, 1983) literatures. This test assesses
whether known variables (or predicted values) are systematically
related to the residual variances. To construct the test statistic, two
ordinary least squares regression analyses are required. In the first
analysis, the model of interest is fitted (e.g., Equation 8). Then, the
sum-of-squares error (SSE; i.e., the quantity in the numerator of
Equation 4) is obtained. Then, in the second analysis, the squared
residuals from the first analysis are regressed on the predictors be-
lieved to be the cause of the heteroscedasticity. From this analysis, the
eroscedasticity, we suggest the score test (Breusch & Pagan, 1979;
Cook & Weisberg, 1983). If the results of the score test are
statistically significant at some predetermined ␣, then heterosce-
dasticity appears to be a function of some focal variable (e.g.,
continuous predictor or predicted values). Otherwise, homoscedas-
ticity remains tenable.
Note that some statistical procedures are available in software
packages. However, some procedures may need to be programmed
by the user. Table 2 summarizes which statistical procedures are

Table 2
Availability of Procedures in Various Software Packages

Procedure R SAS IBM SPSS STATA SYSTAT

Residual analysis (Step 2)

Bartlett (1937) ✓ ✓ ✓ ✓ ✓
Brown & Forsythe (1974) ✓ ✓ ✓ ✓ ✓
Levene (1960) ✓ ✓ ✓ ✓ ✓
b
O’Brien (1981)
Wilcox (2002) ✓
Scorea ✓ ✓ ✓
White (1980) ✓ ✓
Graphical approaches ✓ ✓ ✓ ✓ ✓
Statistical inferences (Step 3)
Weighted least squares ✓ ✓ ✓ ✓ ✓
c c
HCCM ✓ ✓
Randomization tests
Mann–Whitney U test ✓ ✓ ✓ ✓
Wilcoxon’s matched pairs test ✓ ✓ ✓ ✓
Least median squares ✓ ✓ ✓
Least trimmed squares ✓ ✓ ✓
Generalized M-estimators ✓ ✓ ✓
Theil–Sen estimator ✓ ✓ ✓
d
HC4 with a wild bootstrap ✓ ✓
Theil–Sen estimator with a
d
percentile bootstrap ✓ ✓
Welch–Satterthwaite test ✓ ✓ ✓ ✓ ✓
Fⴱ approximatione
J approximatione,f
A approximatione,f
Variance-stabilizing transformations ✓ ✓ ✓ ✓ ✓
Note. HCCM ⫽ heteroscedasticity-consistent covariance matrix; HC4 ⫽ heteroscedasticity-consistent cova-
riance matrix 4.
a
Developed independently by Breusch and Pagan (1979) and Cook and Weisberg (1983). b Rosopa, Schroe-
der, and Doll (2013) provided R code for this procedure. c Hayes and Cai (2007) provided macros for this
procedure in these software packages. d Ng and Wilcox (2010) provided R code for this procedure. e Stand-
alone programs and syntax were offered by DeShon and Alexander (1996). f Aguinis, Petersen, and Pierce
(1999) provided a free online tool that calculates this approximation.
 342 ROSOPA, SCHAFFER, AND SCHROEDER
currently available in commonly used statistical software in the
behavioral and social sciences.
It deserves mentioning that some literature suggests that re-
searchers should not conduct preliminary tests of homoscedasticity
when conducting tests of location (Sawilowsky, 2002). In simula-
tions involving two independent groups, Zimmerman (2004) cal-
culated both conditional and unconditional probabilities of Type I
error rates. He defined the conditional probability of a Type I error
rate as the probability of rejecting a true null hypothesis (at ␣)
depending on the result of a preliminary Levene’s (1960) test at ␣.
If Levene’s test was not statistically significant, Student’s t test
was conducted at ␣; otherwise, Welch’s (1938) test was conducted
at ␣. Zimmerman also calculated the unconditional probability of
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a Type I error rate for both Student’s t and Welch’s test. The
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unconditional probability was the probability of a Type I error rate,
for each test, without conducting a preliminary Levene’s test.
Overall, the conditional probability of a Type I error deviated
considerably from the nominal ␣, while an unconditional Welch’s
test provided the best control over Type I error rate. Thus, Zim-
merman suggested that tests for the equality of two independent
means should be unconditionally conducted with Welch’s test,
particularly when sample sizes are unequal.7 Similarly, but with a
more general case, Ng and Wilcox (2011) found that when con-
ducting a preliminary test for heteroscedasticity prior to perform-
ing statistical tests on ordinary least squares regression coeffi-
cients, Type I error rates are not adequately controlled at the
nominal level.
Zimmerman’s (2004) suggestion is an interesting one. Although
he varied the degree of heteroscedasticity from mild to extreme, as
well as the pairing of subgroup sample size (i.e., large subgroup
sample size vs. small subgroup sample size) with different error
variances (i.e., large error variance vs. small error variance), het-
eroscedasticity could only take one form—the variance of the
population errors were unequal across the two groups. That is, one
sample had a larger variance than the other. Thus, a general
recommendation was possible for this scenario. However, having
only one possible form of heteroscedasticity is unlikely in more
complex analyses (e.g., factorial ANCOVA, moderated multiple
regression). Note that research by Ng and Wilcox (2011) suggested
the use of a general remedy for heteroscedasticity even when the
specific form is unknown (to be discussed below in the subsection
titled Heteroscedasticity-Consistent Covariance Matrices; Cai &
Hayes, 2008; Long & Ervin, 2000).
Graphical approaches. Graphical approaches similar to
those noted in the section above titled Heteroscedasticity in Com-
monly Used Statistical Models may also be used to detect various
forms of heteroscedasticity. Regardless of whether a two- or three-
dimensional display is generated, it is typical to place residuals on
the vertical axis. Then, predictors believed to be related to the
variance of the residuals are placed on the horizontal axis. If
homoscedasticity is satisfied, then the spread of the residuals will
be approximately the same at all levels (or values) of a predictor
(see Figures 1a and 2a). Otherwise, heteroscedasticity may exist
such that the variance of the residuals increases (or decreases) as
the value of a predictor increases (or decreases; see, e.g., Figure
2b). Researchers have described other patterns of heteroscedastic-
ity, including a butterfly shape (i.e., large residual variances at
small and large values of a regressor with small residual variances
near the mean of the regressor) and a galaxy shape (i.e., large
residual variance near the mean of a regressor with the smallest
residual variances toward small and large values of the regressor;
Cohen et al., 2003; Darlington, 1990; Fox, 2008). Note that the
regression surface is p-dimensional and is contained within (p ⫹
1)-dimensional space. Thus, it may not be feasible to use graphical
approaches to assess whether the residuals are nonconstant across
p ⬎ 2 predictors simultaneously. However, researchers can graph-
ically explore, one (or two) predictor(s) at a time, whether the
residuals are approximately nonconstant across a focal predictor or
the predicted values.
Although interpreting graphical displays can be subjective, they
can provide considerable diagnostic value (Mansfield & Conerly,
1987; Thisted, 1988) and may be used to complement statistical
approaches (Cook & Weisberg, 1983). Graphical approaches for
analyzing data including residuals were described in Chambers,
Cleveland, Kleiner, and Tukey (1983); Cook and Weisberg (1982,
1983, 1999); Fox (2008); and Wainer and Thissen (1993). All
major statistical software packages have these capabilities.
Heuristic approaches. Some heuristic approaches (i.e., rules
of thumb) have been suggested by researchers. Specifically, if the
residual variances can be partitioned on the basis of a categorical
predictor, then a ratio involving the largest residual variance to the
smallest residual variance can be computed. When testing for
mean differences, Seber and Lee (2003) suggested a ratio of 2 as
the threshold where heteroscedasticity is likely to unduly influence
statistical inferences. In the context of moderated multiple regres-
sion with a continuous predictor and a categorical moderator, when
residual variances differ across a categorical moderator, DeShon
and Alexander’s (1996) statistical simulations suggested that het-
eroscedasticity can be problematic once the ratio of the variances
of the residuals exceeds 1.5, and this heuristic has been shown to
be useful in some applied settings (Oswald, Saad, & Sackett,
2000).
Note that these heuristic approaches are helpful general guide-
lines that do not require statistical inferences. However, they are
limited to those instances where the variances of the residuals can
be calculated within each of the levels of a categorical predictor.
Otherwise, a researcher would have to artificially polychotomize a
continuous predictor to calculate the ratio of the largest to the
smallest residual variances. This is generally not advised because
how the polychotomization is performed (e.g., two groups, three
groups, etc.) could result in very different ratios. In addition,
research generally suggests that artificial polychotomization of
data results in a diminished capacity to detect true relationships in
some situations and an increase in Type I error rates in other
situations (Cohen, 1983; Maxwell & Delaney, 1993).
Three general approaches for investigating whether residual
variances differ have been summarized above. Next, we apply
these approaches to our illustrative example data.
Illustrative example. Here, we continue with our illustrative
example and apply Step 2, investigating whether the homoscedas-
ticity assumption was violated. For comparison purposes, we apply
statistical, graphical, and heuristic approaches to analyze the re-
siduals.
Using the residuals (see column labeled RESID in the Appen-
dix) as the dependent variable and d as the independent variable,
7
We thank an anonymous reviewer for directing us to this study.
 MANAGING HETEROSCEDASTICITY
Brown and Forsythe’s (1974) test was conducted. The test was
statistically significant, F(1, 76) ⫽ 10.11, p ⬍ .01, indicating that
the variability of the residuals between conditions was not the
same. Note that the score test (Breusch & Pagan, 1979; Cook &
Weisberg, 1983) was also conducted, using d as the predictor in
the second regression analysis (see section above titled Statistical
Approaches), ␹2(1) ⫽ 11.16, p ⬍ .001, and it was consistent with
the results of Brown and Forsythe’s test.
Next, using graphical approaches to assess the tenability of the
homoscedasticity assumption, a plot of the residuals against group
membership (i.e., d) was constructed (see Figure 3). Overall,
Figure 3, when combined with the results of Brown and Forsythe’s
(1974) test and the score test, indicates that those in the treatment
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group (i.e., Group 2) exhibited less variability in the residuals
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compared to those in the control group (i.e., Group 1).
For completeness, we also plotted the residuals against predicted
values and x to inspect whether the residual variances changed as
a function of the predicted values or x. There was no evidence of
heteroscedasticity in either case because the spread of the residuals
was approximately the same across the predicted values and across
x. Thus, heteroscedasticity manifested only between the two
groups.
Finally, in analyzing the residuals, because we have data where
the residuals can be divided on the basis of a categorical predictor
(viz., our binary predictor, d), we applied a heuristic approach.
Using the variances of the residuals, the ratio was 3.34/0.99 ⫽
3.37. Thus, based on the suggestions by Seber and Lee (2003) and
DeShon and Alexander (1996), the degree of heteroscedasticity
present in the data is likely to lead to biased results.
Note that heteroscedasticity can pose problems when conduct-
ing statistical tests and computing confidence intervals involving
estimated parameters. Therefore, in the section below, we summa-
rize procedures that can be used in the presence of heteroscedas-
ticity.
Figure 3. Boxplots of residuals for Group 1 (control) and Group 2
(treatment) from the illustrative example. The error bars in Figure 3 depict
the minimum and maximum values.
343
Step 3. Statistical Inferences Involving Parameter
Estimates
The issue of statistical tests and interval estimation involves
not only the parameter estimates (which remain unbiased) but
also the covariance matrix among the parameter estimates (see
Equation 5). Recall that the latter will be incorrect if heterosce-
dasticity is present. Thus, if heteroscedasticity exists, based on
the results of the residual analyses described above in Step 2, it
is important that appropriate statistical tests be conducted and
confidence intervals examined for the parameter estimates. For
example, assuming the alternative hypothesis was true, when
testing whether a regression slope is positive in the population
in the presence of heteroscedasticity, failure to support this
hypothesis is likely to be due, in part, to an incorrect standard
error. That is, the sample-based conclusion is likely to be
erroneous due to incorrect standard errors. This would pose a
serious threat to statistical conclusion validity (Shadish et al.,
2002). Below, we describe various alternatives available for
statistical inferences (e.g., hypothesis tests, confidence inter-
vals) in the presence of heteroscedasticity. Table 3 provides a
summary of the procedures, and Table 2 summarizes which
procedures are currently available in commonly used statistical
software in the behavioral and social sciences.
Weighted least squares. Weighted least squares regression is
a general approach to analyzing data in linear models when het-
eroscedasticity exists. However, because the N weights for use in
weighted least squares regression are often unknown (for an ex-
ception, see Steel & Kammeyer-Mueller, 2002), this requires es-
timating the weights, which are functions of the residual variance.
Although the details of weight estimation are beyond the scope of
the current article, an excellent discussion of estimating the
weights, including when the error variances are known up to a
proportionality constant and when replicates are available at each
combination of the levels of the predictors (e.g., in controlled
experiments), can be found in Neter, Kutner, Nachtsheim, and
Wasserman (1996, pp. 400 – 409) and Cook and Weisberg (1999,
pp. 204 –220). In weighted least squares regression, the model can
be expressed as
Wy ⫽ WX␤ ⫹ W␧, (9)
where W is an N ⫻ N diagonal matrix with the square root of the
N weights on the diagonal. Expressing Equation 9 as yⴱ ⫽ Xⴱ␤ ⫹
␧ⴱ (where yⴱ ⫽ Wy, Xⴱ ⫽ WX, and ␧ⴱ ⫽ W␧), we see that
weighted least squares regression can be viewed as the usual linear
model (cf. Equation 1) but applied to transformed data (Cook &
Weisberg, 1999; Fox, 2008; Neter et al., 1996). In weighted least
squares regression, Equation 5 becomes
cov共␤
ˆ兲 ⫽ ␴
ˆ 2共X
WX兲⫺1
When the weights are all equal to unity, weighted least squares
regression is identical to ordinary least squares regression. Stated
differently, ordinary least squares regression is a special case of
weighted least squares regression (Cook & Weisberg, 1999; Fox,
2008; Neter et al., 1996; Thisted, 1988). Weighted least squares
regression has been recommended by researchers because of its
increased statistical power and robustness relative to ordinary least
squares regression when heteroscedasticity exists (see, e.g., Neter
 344 ROSOPA, SCHAFFER, AND SCHROEDER

Table 3
Summary of Procedures for Statistical Inference in the Presence of Heteroscedasticity

Types of
Name of test predictors Strengths Weaknesses

Weighted least squares Continuous and/or •Greater power in the presence of heteroscedasticity •Requires estimation of weights
categorical than ordinary least squares
•Output similar to regression: easy to interpret
HCCM Continuous and/or •Does not require a priori knowledge of the form of •Some HCCMs can be computationally
categorical heteroscedasticity intensive
•Versatile, with good statistical power
Randomization tests Categorical •Does not require normality •Computer-intensive, especially with large
samples
Mann–Whitney U test Categorical •Available in major statistical software packages •Can compare two independent groups only
Wilcoxon’s matched pairs
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test Categorical •Available in major statistical software packages •Can compare two dependent groups only
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Kruskal–Wallis test Categorical •Available in major statistical software packages •Generally less power than their parametric
counterparts
Friedman’s rank test Categorical •Available in major statistical software packages •Generally less power than their parametric
counterparts
Theil–Sen estimator Continuous and/or •Low Type I error and good statistical power •May not perform as well when testing
categorical interaction terms
HC4 with a wild bootstrap Continuous and/or •Recommended when N is small or the regression •Computationally intensive
categorical coefficient is small
•Available in some major statistical software
packages
Theil-Sen estimator with a Continuous and/or •Recommended when N or the regression coefficient •Computationally intensive
percentile bootstrap categorical is large
•Available in some major statistical software
packages
Note. HCCM ⫽ heteroscedasticity-consistent covariance matrix; HC4 ⫽ heteroscedasticity-consistent covariance matrix 4.

et al., 1996; Overton, 2001; Rosopa, 2006; Steel & Kammeyer-
Mueller, 2002). In addition, a convenient aspect of weighted least
squares regression is that the output from statistical software
remains in a familiar regression framework (Aguinis, 2004; Over-
ton, 2001). Thus, regression coefficients, F tests, and t tests can be
interpreted as usual, making weighted least squares regression a
practical alternative procedure for a wide range of researchers and
practitioners.8
Although we recommend the use of weighted least squares
regression in general, the estimation of the weights requires cor-
rectly identifying the pattern of heteroscedasticity present in the
among the parameter estimates (i.e., cov共␤兲; ˆ see Equation 5).
Regression coefficients are not adjusted or corrected because they
remain unbiased. All statistical tests, confidence intervals, and
confidence bands employ the relevant linear combination of the
elements in the adjusted covariance matrix among the regression
coefficients—the HCCM. Currently, there are six types of
HCCMs: HC0 through HC5. Later variants were generally in-
tended to improve upon early HCCMs.
Specifically, HC3 (MacKinnon & White, 1985) can be ex-
pressed as

data (see Step 2) because the weights are functions of the residual
variance. If a researcher is unsure of the pattern or incorrectly
diagnoses the pattern of heteroscedasticity, the weights could be
incorrectly estimated, resulting in a weighted least squares regres-
sion where the elements, for example, in cov共␤兲 ˆ ⫽ ␴ ˆ 2共X
WX兲⫺1
may still be incorrect. Thus, as a remedial procedure to mitigate
the effects of heteroscedasticity, weighted least square regression
tends to perform optimally when the pattern of heteroscedasticity
has been correctly diagnosed and the weights estimated accord-
ingly. Otherwise, other procedures may be preferred (see, for
example, the section below titled Heteroscedasticity-Consistent
Covariance Matrices). Weighted least squares regression is avail-
able in all major software packages.
Heteroscedasticity-consistent covariance matrices. Hetero-
scedasticity-consistent covariance matrices (HCCMs) originated in
econometrics (White, 1980) and have become increasingly studied
in the statistics and behavioral sciences literature (Cai & Hayes,
2008; Hayes & Cai, 2007; Long & Ervin, 2000; Rosopa & Wolf,
2008). Put simply, this approach corrects the covariance matrix
冋共 册共
ei2
HC3 ⫽ 共X⬘X兲⫺1X⬘diag X X⬘X兲⫺1 , (10)
1 ⫺ hii兲2
where hii ⫽ the ith diagonal element in the hat matrix, H ⫽
X(X=X)⫺1X=. The hiis are known as leverages. HC3 improved
upon HC2 by providing for a more stringent adjustment for influ-
ential cases in X. Namely, HC2 resembles HC3. However, the
8
Some researchers have suggested that effect size measures (R2) typi-
cally employed in psychology and other behavioral sciences cannot be
easily interpreted in weighted least squares regression (Cohen et al., 2003,
p. 147). However, Willett and Singer (1988) presented a pseudo-R2 for
weighted least squares regression. In an example of its application, the
pseudo-R2 was nearly identical to the ordinary least squares– based R2.
These researchers argue that the pseudo-R2 is not likely to differ much from
the ordinary least squares– based R2 (Willett & Singer, 1988). In addition,
they suggested that researchers should “refocus attention on other aspects
of the analysis, particularly the increased precision of the estimates of ␤”
(Willett & Singer, 1988, p. 238).
 MANAGING HETEROSCEDASTICITY
exponent 2 in the denominator of the elements of the diagonal
matrix in Equation 10 is equal to 1 in HC2.
HC4 was developed by Cribari-Neto (2004). It can be ex-
pressed as
冋共 册共
ei2
HC4 ⫽ 共X
X兲⫺1X
diag X X
X兲⫺1 , (11)
1 ⫺ hii兲␦i
where ␦i ⫽ min{4, Nhii/(p ⫹ 1)}. Note that HC4 in Equation 11
resembles HC3 in Equation 10. The difference, however, between
these two HCCMs is that HC4 provides for an even more stringent
adjustment for influential cases in X, resulting in slightly larger
elements in the diagonal matrix in Equation 11 compared to
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Equation 10.
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Finally, HC5 (Cribari-Neto, Souza, & Vasconcellos, 2007) was
developed to provide further adjustment to the estimated covari-
ance matrix among the regression coefficients. HC5 is identical to
Equation 11 with one exception—␦i ⫽ min{Nhii/(p ⫹ 1), max{4,
Nkhmax/(p ⫹ 1)}}, where k ⫽ .7, as recommended by Cribari-Neto
et al. (2007), and hmax ⫽ max{h11, h22, . . ., hNN}.
HCCMs can be an attractive alternative because they do not
require a priori knowledge of the exact form of heteroscedasticity,
and HCCMs perform well in terms of statistical power (Long &
Ervin, 2000). Based on a wide range of extant Monte Carlo
simulations, it appears that HC4 performs the best in terms of
control over Type I and Type II errors (Cribari-Neto, 2004; Ng &
Wilcox, 2009, 2011). Thus, of the HCCMs, we recommend HC4.
Although some HCCMs can be computationally intensive (e.g.,
HC5), many are available in some of the major software packages
like R and STATA. In addition, Hayes and Cai (2007) provided
macros in IBM SPSS and SAS.
Nonparametric and other robust methods. A number of
nonparametric or robust methods have been suggested when the
homoscedasticity assumption is violated. When testing for the
equality of independent or dependent means, randomization tests
have long been recommended because they do not require the
normality or homoscedasticity assumption (Siegel, 1956). Al-
though such tests can be computer intensive, especially when
sample sizes are large, with recent advances in computing speed,
this is generally less of a concern. Randomization tests are not
typically available in statistical software packages and, thus, must
be programmed by the user.
Other nonparametric methods have been suggested when com-
paring independent and dependent groups. More specifically,
when comparing independent groups, conventional recommenda-
tions include the Mann–Whitney U test for two groups and the
Kruskal–Wallis test for more than two groups (King et al., 2010;
Siegel, 1956). When comparing dependent groups, the Wilcoxon’s
matched pairs test is suggested for two groups, and Friedman’s
rank test is recommended for more than two groups (King et al.,
2010; Siegel, 1956). These and other nonparametric tests are
available in all major statistical software.
Wilcox (2005) provided comprehensive coverage of modern
robust methods of location (typically, trimmed means or medians)
across independent and dependent groups excluding and including
covariates. In addition, Wilcox described robust regression meth-
ods involving least median squares, least trimmed squares, and
generalized M-estimators. The Theil–Sen estimator (Sen, 1968;
Theil, 1950) with a percentile bootstrap method appears to perform
345
well in terms of Type I error and power in models without
interaction terms (Wilcox, 1998). When conducting t tests on
interaction terms, Ng and Wilcox (2010) found two procedures
that perform well in controlling Type I error under nonnormality
and heteroscedasticity. Specifically, the HC4 with a wild bootstrap
is recommended when N is small or the magnitude of the regres-
sion coefficient is small, and the Theil–Sen estimator with a
percentile bootstrap is recommended when N is large or the mag-
nitude of the regression coefficient is large. Ng and Wilcox pro-
vided functions in R for both procedures. Robust regression meth-
ods are available in some major statistical software packages,
including R, SAS, and SYSTAT.
Statistical approximations. When testing mean and slope
differences, statistical approximations are available. For example,
when testing for the equality of two independent means, the test by
Welch (1938) and Satterthwaite (1946) uses a test with separate
variance estimators. When heteroscedasticity exists, the Welch–
Satterthwaite test performs very well compared to the usual Stu-
dent’s t (Zimmerman, 2004). This procedure is available in all
statistical packages.
When testing for regression slope differences, some procedures
include the Welch–Aspin F approximation (Fⴱ; Aspin, 1948;
Welch, 1938), a generalization of James’s (1951) second-order
approximation (J; DeShon & Alexander, 1994), and the normal-
ized t approximation (A; Alexander & Govern, 1994). Simulation
research on the utility of the various approximation procedures has
led to a number of conclusions. As expected, across various
manipulated conditions, the Fⴱ, J, and A approximations result in
more stable performance than the standard F (DeShon & Alexan-
der, 1994, 1996). For small Ns, the J approximation slightly
outperforms the Fⴱ and A approximations. However, because the
Type I and Type II error rates of the J and A approximations are
nearly identical and the A approximation is easier to compute,
consistent with DeShon and Alexander (1996), we recommend the
A approximation when testing for regression slope differences.
Because the Fⴱ, J, and A approximations can be computationally
intensive and are not available in statistical software packages,
they are some of the least accessible procedures. However, stand-
alone programs and syntax are often available through the authors
of journal articles (see Aguinis, Petersen, & Pierce, 1999; DeShon
& Alexander, 1996), and Aguinis et al. (1999) provided a free
online tool that calculates the J and A approximations.
Variance-stabilizing transformations. In an effort to ame-
liorate the effects of heteroscedasticity, variance-stabilizing trans-
formations (Box & Cox, 1964) applied to the dependent variable
have been recommended by researchers, including angular trans-
formations, logarithms, reciprocals, and square roots (e.g., Carroll
& Ruppert, 1988). After identifying a suitable transformation of
the dependent variable that restores homoscedasticity (using yNew
to denote the transformed y), the linear model in Equation 1 can be
expressed as yNew ⫽ X␤ ⫹ ␧. However, during the search for an
appropriate transformation, some may eliminate a hypothesized
mean or slope difference (see Aguinis & Pierce, 1998). In addition,
Grissom (2000) indicated that “there are mixed empirical results
on the effectiveness of transformations and interpretive problems
with their use” (p. 158). As an example, when the transformed
dependent variable is the natural logarithm of time, it may be
difficult to unambiguously interpret the results of statistical anal-
yses. On the other hand, some transformations (assuming that
 346 ROSOPA, SCHAFFER, AND SCHROEDER
homoscedasticity has been restored) may lend themselves to a
useful interpretation. For example, if a dependent variable is in
units of time/distance (e.g., seconds/meters), then the reciprocal
could be quite meaningful because the transformed variable would
be a speed (i.e., meters/second). Variance-stabilizing transforma-
tions can be conducted in all major statistical packages.
Above, we have reviewed various ameliorative procedures that
can be used when the homoscedasticity assumption is violated.
Next, for demonstration and comparison purposes, we apply some
of these procedures to our illustrative example data.
Illustrative example. Recall that in our example, the re-
searcher tested for the interaction between x and d. However,
because heteroscedasticity is present, this could have affected the
This article is intended solely for the personal use of the individual user and is not to be disseminated broadly.
validity of the t test on the regression coefficient of interest. Thus,
This document is copyrighted by the American Psychological Association or one of its allied publishers.
in Step 3, we use an alternative procedure for statistical inferences.
More specifically, for comparison purposes, we used weighted
least squares regression, HC4 (Cribari-Neto, 2004), Theil–Sen
estimator with a percentile bootstrap (Ng & Wilcox, 2010), and the
A approximation (Alexander & Govern, 1994). For further com-
parisons, in an effort to restore homoscedasticity, we also applied
various transformations to the dependent variable.
Although a comprehensive discussion of estimating the weights
for use in weighted least squares regression is beyond the scope of
the present article, excellent descriptions of estimating the weights
for various models can be found in Bement and Williams (1969),
Cook and Weisberg (1999), and Neter et al. (1996). Briefly, each
of the weights is the reciprocal of an estimated variance. Using the
unstandardized residuals in the Appendix in the column labeled
RESID, we calculated the sum of the squared residuals for Group
1 (i.e., 130.08896) and Group 2 (i.e., 36.64667). Based on the
results of Monte Carlo simulations and consistent with recommen-
dations by Overton (2001), where he suggested the degrees of
freedom for each group be based on sample size within each group
minus four, the estimated weight for the 40 observations in Group
1 was (40 ⫺ 4)/130.08896 ⫽ .27673. The estimated weight for the
38 observations in Group 2 was (38 ⫺ 4)/36.64667 ⫽ .92778. As
discovered in Step 2 above, the form of heteroscedasticity was
such that the residual variances were different across the two
groups; thus, the weights were different between groups but the
same within a group. The calculated weights appear in the Appen-
dix in the column labeled WT.
To conduct a weighted least squares regression, the analyses are
the same as those that were conducted above in Step 1 (i.e., using
the model matrix in Equation 8). However, statistical software
packages allow for a weights variable. For example, in regression
or general linear model procedures in IBM SPSS, it is labeled
WLS Weight. In the linear models function in R, a user simply
specifies an N ⫻ 1 vector of weights in an optional argument
called weights.
In the present illustration, the overall model remained statisti-
cally significant, F(3, 74) ⫽ 88.47, p ⬍ .001 (R2 ⫽ .78). Note that
whereas analyses in Step 1 indicated nonsignificant slope differ-
ences, upon utilizing weighted least squares regression, which is
appropriate in the presence of heteroscedastic data, the t test
associated with ␤ˆ ⫽ .69 was statistically significant, t(74) ⫽ 2.07,
3
p ⫽ .041. This indicates that the regression slopes for the two
groups are not equal, suggesting that Group 2’s slope (1.53) is
steeper than Group 1’s slope (0.84).9
Next, we calculated HC4 (see Equation 11); the square root of
the fourth diagonal element provided the appropriate standard
error. Using HC4, the t test on ␤ˆ ⫽ .69 was statistically signifi-
3
cant, t(74) ⫽ 5.87, p ⬍ .001, indicating that the population slopes
differ from one another.
Then, we calculated the Theil–Sen estimator with a percentile
bootstrap using the R functions described in Ng and Wilcox
(2010). The number of bootstrap samples was kept at the default
setting of 599. Note that we calculated a 95% confidence interval
around the difference in the regression slopes (i.e., Group 2’s slope
⫺ Group 1’s slope) and a two-tailed p value. The lower and upper
bounds of the estimated 95% confidence interval around the dif-
ference in regression slopes were 0.079 and 1.529, respectively.
The p value was .013. Thus, there was evidence to suggest that the
regression slopes differed from one another.
Next, for comparison purposes, we also calculated the A ap-
proximation (Alexander & Govern, 1994). The test statistic was
␹2(1) ⫽ 4.11, p ⫽ .043. Based on this statistical approximation, the
population slopes differ between groups. Note that all four alter-
native statistical approaches converged on the same conclusion.
Finally, we analyzed the data using a different alternative pro-
cedure. We applied a variety of variance-stabilizing transforma-
tions to the dependent variable in an effort to restore homoscedas-
ticity. After applying different transformations, including the
natural logarithm and various exponents (i.e., ⫺1, ½, and 2), we
then completed Step 1 again (for each transformation) but using
yNew ⫽ X␤ ⫹ ␧. Then, for each transformation, we completed
Step 2. Based on the statistical, graphical, and heuristic ap-
proaches, the homoscedasticity assumption was still violated.
Thus, in this example, because we were unable to identify a
transformation that would restore homoscedasticity, it would be
preferable to use one of the other procedures described above (e.g.,
weighted least squares regression, HC4, the Theil–Sen estimator,
or the A approximation).
Overall, based on our analyses in Steps 1–3, we can conclude
that the population regression slopes were unequal between the
treatment and control groups and that the treatment group’s slope
was steeper than the control group’s slope. In addition, the vari-
ability of the residuals was different between the groups such that
the treatment group was less variable than the control group.
Discussion
In the current article, we have presented a set of procedures that
can be used to assess whether heteroscedasticity exists, as well as
how to proceed with data analysis in the presence of heterosce-
dasticity. It is important that researchers not only appropriately test
hypothesized relations involving estimated parameters in a model
(Step 3) but also investigate changes in residual variances (Step 2).
Consistent with this, Grissom (2000) suggested that researchers
“discuss differences in variabilities, not just means in their data”
9
When using weighted least squares regression, the ordinary least
squares residuals and the square root of the estimated weights can be used
to estimate the weighted least squares residuals (␧ⴱ). In our illustrative
example, after conducting weighted least squares regression, we completed
Step 2 on the estimated weighted least squares residuals (see the column
labeled WLSRESID in the Appendix). Based on the statistical, graphical,
and heuristic approaches, the homoscedasticity assumption was no longer
violated, suggesting that weighted least squares regression was effective.
 MANAGING HETEROSCEDASTICITY
(pp. 161–162). In addition, consistent with Grissom’s recommen-
dation, when the homoscedasticity assumption is violated, re-
searchers should use procedures that can mitigate the effects of
heteroscedasticity. This can have implications for both theory
development and practice.
Clearly, there remain other issues that future research could
explore. Because our review has revealed that there were con-
siderable differences in variability (pun intended) in the diag-
nostic procedures described in extant literature, future research
could explore which procedures for detecting heteroscedasticity
outperform others in terms of controlling Type I error rates
while concurrently providing the greatest statistical power. As
Zimmerman’s (2004) research suggested, Levene’s (1960) test
This article is intended solely for the personal use of the individual user and is not to be disseminated broadly.
may not have adequate statistical power to detect violations of
This document is copyrighted by the American Psychological Association or one of its allied publishers.
the homogeneity of variance assumption when testing for the
equality of two independent means. Thus, a comprehensive
examination of other procedures may be warranted. For exam-
ple, because of the flexibility of the score test (Breusch &
Pagan, 1979; Cook & Weisberg, 1983), it may be important to
examine how well it performs against procedures that were
developed to detect specific forms of heteroscedasticity, for
example, Brown and Forsythe’s (1974) procedure in ANOVA.
That is, if the score test performs comparably to (or better than)
other procedures under various conditions, it may be recom-
mended as a general-purpose test for heteroscedasticity, sup-
planting other procedures. In addition, because O’Brien’s
(1981) method can only be used in ANOVA, future research
could potentially extend this procedure to include categorical
and continuous predictors. Notably, many of these diagnostic
procedures were developed within the context of the general
linear model. Some may not perform comparably in the context
of hierarchical linear models (i.e., multilevel modeling), where
the population errors (i.e., ␧) are permitted to be correlated (see
J. Kim & Seltzer, 2011). Thus, simulation studies may be useful
to further explore this area.
Research could also further examine what Zimmerman
(2004) described as conditional probabilities of Type I error.
However, these could be studied with more complex statistical
analyses beyond two independent groups. In addition, although
Zimmerman focused on control of Type I error rates, it would
be interesting to explore conditional probabilities of Type II
error rates (or power). This could result in general recommen-
dations for Step 3 regardless of the degree or pattern of het-
eroscedasticity identified in Step 2. For example, some research
suggests that HCCMs provide a general-purpose solution for
heteroscedasticity even when its form is unknown (Long &
Ervin, 2000; Ng & Wilcox, 2011).
In conclusion, heteroscedasticity can adversely affect statis-
tical models commonly employed in the behavioral and social
sciences. Because this can affect substantive conclusions, it is
important to have data-analytic tools for detecting heterosce-
dasticity and mitigating its biasing effects. Based on the syn-
thesis of diverse literature, we have reviewed procedures and
offered recommendations for managing heteroscedasticity that
could serve as a useful resource for researchers and practitio-
ners, thus strengthening the validity of inferences from behav-
ioral and social science data.
347
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(Appendix follows)
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 350 ROSOPA, SCHAFFER, AND SCHROEDER

Appendix
Data for Illustrative Example

y x d RESID WT WLSRESID

14.76 18.81 0 0.69545 0.27673 0.365843

17.19 20.78 0 1.47553 0.27673 0.776210
16.52 19.28 0 2.06181 0.27673 1.084626
17.09 20.95 0 1.23315 0.27673 0.648706
15.09 20.27 0 ⫺0.19730 0.27673 ⫺0.103809
15.85 18.98 0 1.64307 0.27673 0.864344
14.64 21.06 0 ⫺1.30900 0.27673 ⫺0.688593
11.78 20.63 0 ⫺3.80880 0.27673 ⫺2.003659
10.60 17.54 0 ⫺2.40090 0.27673 ⫺1.263007
This article is intended solely for the personal use of the individual user and is not to be disseminated broadly.

14.97 20.29 0 ⫺0.33410 0.27673 ⫺0.175747

This document is copyrighted by the American Psychological Association or one of its allied publishers.

15.44 20.94 0 ⫺0.40850 0.27673 ⫺0.214879

15.89 18.44 0 2.13533 0.27673 1.123300
17.30 21.35 0 1.10814 0.27673 0.582944
17.13 20.29 0 1.82592 0.27673 0.960532
13.69 20.60 0 ⫺1.87370 0.27673 ⫺0.985677
17.06 21.52 0 0.72577 0.27673 0.381792
13.89 20.37 0 ⫺1.48110 0.27673 ⫺0.779133
12.61 21.44 0 ⫺3.65720 0.27673 ⫺1.923905
14.55 19.80 0 ⫺0.34370 0.27673 ⫺0.180805
17.15 20.74 0 1.46903 0.27673 0.772791
15.01 20.59 0 ⫺0.54530 0.27673 ⫺0.286879
15.90 21.27 0 ⫺0.22490 0.27673 ⫺0.118286
15.98 20.49 0 0.50841 0.27673 0.267452
15.24 20.82 0 ⫺0.50800 0.27673 ⫺0.267220
12.57 17.24 0 ⫺0.17960 0.27673 ⫺0.094504
16.51 19.43 0 1.92618 0.27673 1.013278
14.56 19.69 0 ⫺0.24160 0.27673 ⫺0.127080
14.85 19.87 0 ⫺0.10230 0.27673 ⫺0.053829
16.33 20.17 0 1.12642 0.27673 0.592558
12.22 18.96 0 ⫺1.97020 0.27673 ⫺1.036424
16.68 20.35 0 1.32566 0.27673 0.697372
15.88 19.83 0 0.96118 0.27673 0.505631
17.21 18.85 0 3.11195 0.27673 1.637054
12.63 18.58 0 ⫺1.24190 0.27673 ⫺0.653320
16.90 20.38 0 1.52054 0.27673 0.799887
12.61 19.05 0 ⫺1.65560 0.27673 ⫺0.870915
13.81 18.60 0 ⫺0.07870 0.27673 ⫺0.041387
12.09 20.43 0 ⫺3.33130 0.27673 ⫺1.752466
20.02 21.06 0 4.07102 0.27673 2.141582
11.62 19.51 0 ⫺3.03080 0.27673 ⫺1.594377
22.03 20.69 1 1.21273 0.92778 1.168121
17.46 19.19 1 ⫺1.06550 0.92778 ⫺1.026310
20.97 21.40 1 ⫺0.93200 0.92778 ⫺0.897744
21.29 20.05 1 1.45055 0.92778 1.397190
20.37 21.03 1 ⫺0.96670 0.92778 ⫺0.931167
18.06 18.97 1 ⫺0.12940 0.92778 ⫺0.124623
22.02 20.60 1 1.34024 0.92778 1.290936
20.61 20.59 1 ⫺0.05450 0.92778 ⫺0.052477
20.48 20.69 1 ⫺0.33730 0.92778 ⫺0.324858
19.10 19.76 1 ⫺0.29640 0.92778 ⫺0.285472
18.35 19.00 1 0.11478 0.92778 0.110560
19.34 19.08 1 0.98256 0.92778 0.946410
21.53 20.57 1 0.89608 0.92778 0.863111
16.85 18.52 1 ⫺0.65190 0.92778 ⫺0.627875
21.56 20.39 1 1.20109 0.92778 1.156902

(Appendix continues)
 MANAGING HETEROSCEDASTICITY 351

Appendix (continued)

y x d RESID WT WLSRESID

22.23 21.50 1 0.17518 0.92778 0.168740

20.69 21.33 1 ⫺1.10510 0.92778 ⫺1.064429
20.67 19.86 1 1.12084 0.92778 1.079608
19.37 19.80 1 ⫺0.08750 0.92778 ⫺0.084270
17.30 19.69 1 ⫺1.98940 0.92778 ⫺1.916241
20.15 19.71 1 0.83002 0.92778 0.799483
20.26 20.32 1 0.00804 0.92778 0.007739
18.98 19.42 1 0.10309 0.92778 0.099298
21.65 19.91 1 2.02445 0.92778 1.949975
19.70 19.20 1 1.15921 0.92778 1.116571
15.97 18.49 1 ⫺1.48600 0.92778 ⫺1.431353
20.12 20.48 1 ⫺0.37640 0.92778 ⫺0.362572
This article is intended solely for the personal use of the individual user and is not to be disseminated broadly.

19.08 20.26 1 ⫺1.08030 0.92778 ⫺1.040554

This document is copyrighted by the American Psychological Association or one of its allied publishers.

16.70 17.94 1 0.08429 0.92778 0.081191

17.51 18.33 1 0.29843 0.92778 0.287456
17.41 18.33 1 0.19843 0.92778 0.191135
21.93 21.18 1 0.36409 0.92778 0.350699
17.62 19.74 1 ⫺1.74580 0.92778 ⫺1.681594
18.96 18.81 1 1.01507 0.92778 0.977730
19.42 19.87 1 ⫺0.14440 0.92778 ⫺0.139124
18.60 20.39 1 ⫺1.75890 0.92778 ⫺1.694208
17.40 18.99 1 ⫺0.81990 0.92778 ⫺0.789776
21.51 20.85 1 0.44828 0.92778 0.431789
Note. The data were generated by taking a random sample of 40 bivariate observations (y and x) for Group 1 and 38 bivariate observations for Group
2 from a population with the following parameters: Population error variance in Group 1 (Group 2) ⫽ 3.0 (1.0), population slope in Group 1 (Group 2) ⫽
0.5 (1.2), population standard deviation of x in Group 1 (Group 2) ⫽ 1.0 (1.0). With these parameters and equations found in DeShon and Alexander (1996),
the remaining parameters (i.e., population standard deviation of y in each group and population correlation coefficient between x and y in each group) were
specified. Namely, population standard deviation of y in Group 1 (Group 2) ⫽ 1.8027756 (1.5620499), and population correlation coefficient between x
and y in Group 1 (Group 2) ⫽ .2773501 (.7682213). y ⫽ posttest score; x ⫽ pretest score; d ⫽ 0 for participants in Group 1 (control) and 1 for participants
in Group 2 (treatment); RESID ⫽ residuals based on ordinary least squares regression; WT ⫽ estimated weights for weighted least squares regression;
WLSRESID ⫽ residuals based on weighted least squares regression.

Received November 15, 2010

Revision received February 12, 2013
Accepted March 5, 2013 䡲

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