Glejser’s test revisited

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

doi:10.1016/S0304-4076(00)00016-6

Glejser’s test revisited

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

NOVA School of Business and Economics (NOVA SBE)

Research output: Contribution to journal › Article › peer-review

44 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 language	English
Article number	2126
Pages (from-to)	189-202
Number of pages	14
Journal	Journal of Econometrics
Volume	97
Issue number	1
DOIs	https://doi.org/10.1016/S0304-4076(00)00016-6
Publication status	Published - 1 Jan 2000

Keywords

Conditional symmetry
Glejser test
Heteroskedasticity
Regression quantiles

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10.1016/S0304-4076(00)00016-6

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AB - 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.

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KW - Glejser test

KW - Heteroskedasticity

KW - Regression quantiles

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Glejser’s test revisited

Abstract

Keywords

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