Glejser test
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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 to be not 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 of ei, |ei|, on the explanatory variable that is associated with the heteroscedasticity.
|ei|=γ0+γ1Xi+vi
|ei|=γ0+γ1√Xi+vi
|ei|=γ0+γ11/Xi+vi
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.
References
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