Glejser's test revisited

Godfrey (1996, Journal of Econometrics 72, 275–299) has shown that the Glejser test for heteroskedasticity is valid only under conditional symmetry. Here, modifications of the Glejser test are suggested. The proposed test statistics are asymptotically valid even when the disturbances are not symmetr...

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Veröffentlicht in:	Journal of econometrics 2000-07, Vol.97 (1), p.189-202
Hauptverfasser:	Machado, José A.F, Silva, J.M.C.Santos
Format:	Artikel
Sprache:	eng
Schlagworte:	Conditional symmetry Decision theory Distribution Econometrics Economic models Economic theory Estimation Exact sciences and technology Glejser test Heteroskedasticity Linear inference, regression Mathematics Monte Carlo simulation Multivariate analysis Probability and statistics Regression analysis Regression quantiles Sciences and techniques of general use Statistics Studies Tests
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Zusammenfassung:	Godfrey (1996, Journal of Econometrics 72, 275–299) has shown that the Glejser test for heteroskedasticity is valid only under conditional symmetry. Here, modifications of the Glejser test are suggested. The proposed test statistics are asymptotically valid even when the disturbances are not symmetrically distributed and can be used to test for heteroskedasticity when conditional location functions other than the conditional mean are estimated.
ISSN:	0304-4076 1872-6895
DOI:	10.1016/S0304-4076(00)00016-6