Some results on the Glejser and Koenker tests for heteroskedasticity

DOI10.1016/0304-4076(94)01723-9zbMath0936.62074OpenAlexW2024042203MaRDI QIDQ1915472

Leslie G. Godfrey

Publication date: 15 July 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(94)01723-9

zbMATH Keywords

score testheteroskedasticitynonnormalityGlejser test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (10)

Tests of non-nested regression models: Some results on small sample behaviour and the bootstrap ⋮ 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 ⋮ The robustness, reliabiligy and power of heteroskedasticity tests ⋮ On improving the robustness and reliability of Rao's score test ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Simulation‐based tests for heteroskedasticity in linear regression models: Some further results ⋮ FIRST-ORDER ASYMPTOTIC THEORY FOR PARAMETRIC MISSPECIFICATION TESTS OF GARCH MODELS ⋮ Testing for conditional heteroskedasticity with misspecified alternative hypotheses ⋮ Glejser's test revisited

Uses Software

• Microfit

Cites Work

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• Testing for multiplicative heteroskedasticity
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• Implicit Alternatives and the Local Power of Test Statistics
• The Approximate Slopes of Econometric Tests
• A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models
• The Sensitivity of Some General Checks to Omitted Variables in the Linear Model
• Robustness to non-normality of regression tests

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