Title of article
Glejserʹs test revisited
Author/Authors
Machado، نويسنده , , José A.F and Silva، نويسنده , , J.M.C.Santos، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2000
Pages
14
From page
189
To page
202
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.
Keywords
Conditional symmetry , Glejser test , Heteroskedasticity , Regression quantiles
Journal title
Journal of Econometrics
Serial Year
2000
Journal title
Journal of Econometrics
Record number
1557074
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