I have data for which I did a regression and the White test for constant variance had a p value =0.0016 indicating heterosdedasticity of the variance. See attached graph for residuals vs predicted value. The data was normally distributed see atached distribution graph which had a p=0.79 for the Shapiro Wilk test. These results indicate that I need to do a weighted regression. proc reg; /* weighted linear regression */ model y = x; weight w; In the literature I read, " If however we know the noise variance σ 2 i at each measurement i, and set wi = 1/σ2 i , we get the heteroskedastic MLE, and recover efficiency." My question is how do we know this weight value and based upon my data what would be an appropriate weight i.e., 1/y or something else?
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