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| 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

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