Glejser's test revisited
From MaRDI portal
Publication:1580345
DOI10.1016/S0304-4076(00)00016-6zbMath0970.62006WikidataQ56385194 ScholiaQ56385194MaRDI QIDQ1580345
Publication date: 3 October 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
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
