3.1.3.6 The Glejser Test
This test permits you to search the nature of the heteroscedasticity a little more closely. Here, the assumption that
i
u
is a relative quantity to X
i
is relaxed,and you can then investigate whether some other efficient form maybe more suitable, for example
i
u
…[3.03]
To use the procedure, you regress Yon Xusing OLS and then fit the absolute values of the residuals, |
| to the function fora given value of . You may fit several such functions, varying the choice of
. In each case the null hypothesis of homoscedasticity will be rejected if the estimate of
is significantly different from 0.
|
