Glejser's test revisited

Godfrey (1996, Journal of Econometrics 72, 275-299) has shown that the Glej ser test for heteroskedasticity is valid only under conditional symmetry. H ere, modifications of the Glejser test are suggested. The proposed test sta tistics are asymptotically valid even when the disturbances are not symmetr ically distributed and can be used to test for heteroskedasticity when cond itional location functions other than the conditional mean are estimated. ( C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C52.