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Glejser test
View on Wikipedia | This article may be too technical for most readers to understand. (October 2014) |
Glejser test for heteroscedasticity, developed in 1969 by Herbert Glejser, is a statistical test, which 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
[edit]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.
![{\displaystyle {\begin{aligned}|e_{i}|&=\gamma _{0}+\gamma _{1}X_{i}+v_{i}\\[8pt]|e_{i}|&=\gamma _{0}+\gamma _{1}{\sqrt {X_{i}}}+v_{i}\\[8pt]|e_{i}|&=\gamma _{0}+\gamma _{1}{\frac {1}{X_{i}}}+v_{i}\end{aligned}}}](https://wikimedia.org/api/rest_v1/media/math/render/svg/7755cd054c4e493fb1ab59a387ec3039b6bad500)
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
[edit]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]
See also
[edit]References
[edit]- ^ 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.
- ^ Godfrey, L. G. (1996). "Some results on the Glejser and Koenker tests for heteroskedasticity". Journal of Econometrics. 72 (1–2): 275–299. doi:10.1016/0304-4076(94)01723-9.
- ^ Im, K. S. (2000). "Robustifying Glejser test of heteroskedasticity". Journal of Econometrics. 97: 179–188. doi:10.1016/S0304-4076(99)00061-5.
- ^ 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.
- ^ "skedastic: Heteroskedasticity Diagnostics for Linear Regression Models".
- ^ "Testing for Heteroskedasticity".