Class Glejser


  • public class Glejser
    extends Heteroskedasticity
    The Glejser test tests for conditional heteroskedasticity. The test statistics is computed by regressing absolute residuals from the original regression against the original regressors (plus intercept). The test is a chi-squared test: the test statistic distribution is nχ2 with k degrees of freedom.
    • Constructor Detail

      • Glejser

        public Glejser​(LMResiduals residuals)
        Perform the Glejser test to test for heteroskedasticity in a linear regression model.
        Parameters:
        residuals - the Residuals object from an OLS regression