Glejser’s test revisited

José A. F. Machado, J. M.C. Santos Silva

Research output: Contribution to journalArticle

29 Citations (Scopus)

Abstract

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.

Original languageEnglish
Article number2126
Pages (from-to)189-202
Number of pages14
JournalJournal of Econometrics
Volume97
Issue number1
DOIs
Publication statusPublished - 1 Jan 2000

Keywords

  • Conditional symmetry
  • Glejser test
  • Heteroskedasticity
  • Regression quantiles

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