Robustifying Glejser test of heteroskedasticity

DOI10.1016/S0304-4076(99)00061-5zbMath0951.62023MaRDI QIDQ1580344

N. Delaunay

Publication date: 13 September 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

sizeheteroskedasticityGlejser test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (7)

Misspecification and estimation effect in the Lagrange multiplier tests for heteroskedasticity ⋮ A Generalized Levene's Scale Test for Variance Heterogeneity in the Presence of Sample Correlation and Group Uncertainty ⋮ Rejection rates of bootstrapped and exact heteroskedasticity tests in response to skedastic function and normal or skewed disturbances ⋮ Simulation‐based tests for heteroskedasticity in linear regression models: Some further results ⋮ Glejser's test revisited ⋮ Quantiles via moments ⋮ Heteroscedasticity testing after outlier removal

Cites Work

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• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymmetric Least Squares Estimation and Testing
• A study of several new and existing tests for heteroscedasticity in the general linear model
• Using residuals robustly I: Tests for heteroscedasticity, nonlinearity
• Glejser's test revisited
• Robust Tests for Heteroscedasticity Based on Regression Quantiles

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