Robustifying Glejser test of heteroskedasticity

DOI10.1016/S0304-4076(99)00061-5MaRDI QIDQ1580344zbMATH OpenFDO

Authors N. Delaunay, Kyung So Im

Publication date 13 September 2000

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

Full work available at URL https://doi.org/10.1016/S0304-4076(99)00061-5

zbMATH Keywords

Glejser testheteroskedasticitysize

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Hypothesis testing in multivariate analysis (62H15) Linear regression; mixed models (62J05)

Recommendations

• Glejser's test revisited
• Robust tests for heteroskedasticity in the one-way error components model
• Some results on the Glejser and Koenker tests for heteroskedasticity
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• The robustness, reliabiligy and power of heteroskedasticity tests

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• A study of several new and existing tests for heteroscedasticity in the general linear model
• Asymmetric Least Squares Estimation and Testing
• Glejser's test revisited
• scientific article; zbMATH DE number 3816886 (Why is no real title available?)
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Using residuals robustly I: Tests for heteroscedasticity, nonlinearity

Cited in

(11)

• Glejser's test revisited
• Robust heteroskedasticity-robust tests
• Some results on the Glejser and Koenker tests for heteroskedasticity
• Quantiles via moments
• Misspecification and estimation effect in the Lagrange multiplier tests for heteroskedasticity
• The Glejser test and the median regression
• Heteroskedasticity–robust tests with minimum size distortion
• Simulation‐based tests for heteroskedasticity in linear regression models: Some further results
• Heteroscedasticity testing after outlier removal
• 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

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