| Ui | =^Pi + Pi Xi + Vi where Vi is the error term.
Again as an empirical or practical matter, one may use the Glejser approach. But Goldfeld and Quandt point out that the error term Vi has some problems in that its expected value is nonzero, it is serially correlated (see Chapter H), and ironically it is heteroscedastic.i5 An additional difficulty with the Glejser method is that models such as
|U | = ^Pi + Pi Xf + Vi are nonlinear in the parameters and therefore cannot be estimated with the usual OLS procedure.
Glejser has found that for large samples the first four of the preceding models give generally satisfactory results in detecting heteroscedasticity. As a practical matter, therefore, the Glejser technique may be used for large samples and may be used in the small samples strictly as a qualitative device to learn something about heteroscedasticity.
14H. Glejser, "A New Test for Heteroscedasticity," Journal of the American Statistical Association, vol. 64, 1969, pp. 316-323.
15For details, see Goldfeld and Quandt, op. cit., Chap. 3.
406 PART TWO: RELAXING THE ASSUMPTIONS OF THE CLASSICAL MODEL
Was this article helpful?
Learning About The Rules Of The Rich And Wealthy Can Have Amazing Benefits For Your Life And Success. Discover the hidden rules and beat the rich at their own game. The general population has a love / hate kinship with riches. They resent those who have it, but spend their total lives attempting to get it for themselves. The reason an immense majority of individuals never accumulate a substantial savings is because they don't comprehend the nature of money or how it works.