Machado, Jose A F and Santos Silva, Joao M C (2000) Glejser's test revisited. Journal of Econometrics, 97 (1). pp. 189-202.
Machado, Jose A F and Santos Silva, Joao M C (2000) Glejser's test revisited. Journal of Econometrics, 97 (1). pp. 189-202.
Machado, Jose A F and Santos Silva, Joao M C (2000) Glejser's test revisited. Journal of Econometrics, 97 (1). pp. 189-202.
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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Conditional symmetry; Glejser test; Heteroskedasticity; Regression quantiles |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences > Economics, Department of |
| Depositing User: | Jim Jamieson |
| Date Deposited: | 08 Aug 2012 12:32 |
| Last Modified: | 08 Aug 2012 12:32 |
| URI: | http://repository.essex.ac.uk/id/eprint/3601 |