[R] Testing for normality of residuals in a regression model

[Thomas Lumley]

On Fri, 15 Oct 2004, Kjetil Brinchmann Halvorsen wrote:

> Liaw, Andy wrote:
>> 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.

[Inserting some R content into the discussion]
An example of this can be seen by running qqnorm on the residuals from the 
Anscombe quartet of data sets (data(anscombe)).

 	-thomas