Journal
JOURNAL OF ECONOMETRICS
Volume 97, Issue 1, Pages 189-202Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/S0304-4076(00)00016-6
Keywords
conditional symmetry; Glejser test; heteroskedasticity; regression quantiles
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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. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C52.
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