Glejser test

In statistics, the Glejser test for heteroscedasticity, developed by Herbert Glejser, regresses the residuals on the explanatory variable that is thought to be related to the heteroscedastic variance.[1] After it was found not to be asymptotically valid under asymmetric disturbances,[2] similar improvements have been independently suggested by Im,[3] and Machado and Santos Silva.[4]

Steps for using the Glejser method

Step 1: Estimate original regression with ordinary least squares and find the sample residuals ei.

Step 2: Regress the absolute value |ei| on the explanatory variable that is associated with the heteroscedasticity.

Step 3: Select the equation with the highest R2 and lowest standard errors to represent heteroscedasticity.

Step 4: Perform a t-test on the equation selected from step 3 on γ1. If γ1 is statistically significant, reject the null hypothesis of homoscedasticity.

Software Implementation

Glejser's Test can be implemented in R software using the glejser function of the skedastic package.[5] It can also be implemented in SHAZAM econometrics software.[6]

References
  1. Glejser, H. (1969). "A New Test for Heteroskedasticity". Journal of the American Statistical Association. 64 (235): 315–323. doi:10.1080/01621459.1969.10500976. JSTOR 2283741.
  2. Godfrey, L. G. (1996). "Some results on the Glejser and Koenker tests for heteroskedasticity". Journal of Econometrics. 72: 275. doi:10.1016/0304-4076(94)01723-9.
  3. Im, K. S. (2000). "Robustifying Glejser test of heteroskedasticity". Journal of Econometrics. 97: 179. doi:10.1016/S0304-4076(99)00061-5.
  4. Machado, José A. F.; Silva, J. M. C. Santos (2000). "Glejser's test revisited". Journal of Econometrics. 97 (1): 189–202. doi:10.1016/S0304-4076(00)00016-6.
  5. "skedastic: Heteroskedasticity Diagnostics for Linear Regression Models".
  6. "Testing for Heteroskedasticity".
This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.