I have seen several references to "impure heteroscedasticity" online as heteroscedasticity caused by omitted variable bias. However, I once saw an Internet reference, as I recall, which reminds me of a phenomenon where data that should be modeled separately are modeled together, causing an appearance of increased heteroscedasticity. I think there was a youtube video. That seems like another example of "impure" heteroscedasticity to me. Think of a simple linear regression, say with zero intercept, where the slope, b, for one group/subpopulation/population is slightly larger than another, but those two populations are erroneously modeled together, with a compromise b. The increase in variance of y for larger cases of x would be at least partially due to this modeling problem. (I'm not sure that "model specification error" covers this case where one model is used instead of the two - or more - models needed.)
I have not found that reference online again. Has anyone seen it?
I am interested in any reference to heteroscedasticity mimicry. I'd like to include such a reference in the background/introduction to a paper on analysis of heteroscedasticity which, in contrast, is only from the error structure for an appropriate model, with attention to unequal 'size' members of a population. This would then delineate what my paper is about, in contrast to 'heteroscedasticity' caused by other factors.
Thank you.
pl see the article
Corrections for heteroscedasticity in window evolving factor analysis.
Article Corrections for heteroscedasticity in window evolving factor analysis
Multilevel random coefficient models are particularly suitable when between-group variances are heteroscedastic like in the example you mention. There is plenty of good references on these models in the statistical literature.
What I am asking about would be any apparent heteroscedasticity which does not fit into what I'm calling "essential heteroscedasticity":
https://www.researchgate.net/publication/320853387_Essential_Heteroscedasticity
FYI, I came up with the following:
https://www.researchgate.net/publication/324706010_Nonessential_Heteroscedasticity
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