Robustifying Glejser test of heteroskedasticity
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Publication:1580344
DOI10.1016/S0304-4076(99)00061-5zbMath0951.62023MaRDI QIDQ1580344
Publication date: 13 September 2000
Published in: Journal of Econometrics (Search for Journal in Brave)
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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