Glejser's test revisited

DOI10.1016/S0304-4076(00)00016-6zbMath0970.62006WikidataQ56385194 ScholiaQ56385194MaRDI QIDQ1580345

N. Delaunay

Publication date: 3 October 2001

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

zbMATH Keywords

regression quantilesconditional symmetryheteroskedasticityGlejser test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Linear inference, regression (62J99)

Related Items

A nonparametric measure of heteroskedasticity ⋮ Nonperforming loan of European islamic banks over the economic cycle ⋮ Constrained quantile regression and heteroskedasticity ⋮ New testing approaches for mean-variance predictability ⋮ 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 ⋮ LAD estimation with random coefficient autocorrelated errors. ⋮ On improving the robustness and reliability of Rao's score test ⋮ Simulation‐based tests for heteroskedasticity in linear regression models: Some further results ⋮ Robustifying Glejser test of heteroskedasticity ⋮ Quantiles via moments

Cites Work

• 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 note on Studentizing a test for heteroscedasticity
• Asymptotic relations of M-estimates and R-estimates in linear regression model
• Robustifying Glejser test of heteroskedasticity
• Some results on the Glejser and Koenker tests for heteroskedasticity
• Misspecification tests and their uses in econometrics
• Trimmed Least Squares Estimation in the Linear Model
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Regression Quantiles
• The robustness, reliabiligy and power of heteroskedasticity tests