文章基本信息

标题：The Glejser Test and the Median Regression
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作者：Marilena Furno ; Universit\'a di Cassino, Italy
期刊名称：Sankhya. Series A, mathematical statistics and probability
印刷版ISSN：0976-836X
电子版ISSN：0976-8378
出版年度：2005
卷号：67
期号：02
出版社：Indian Statistical Institute
摘要：The Glejser test is affected by a non-vanishing estimation effect in the presence of skewness. We show that such effect occurs with contaminated errors as well, and that skewness correction is inappropriate when there is contamination. We consider the use of residuals estimated with conditional median regression (least absolute deviations or LAD) and discuss why LAD is effective against both skewness and contamination. The effectiveness of LAD is confirmed by simulations. With contaminated errors, both standard and skewness corrected Glejser tests perform poorly when based on least squares residuals. However, they perform very well when implemented using LAD residuals. The latter turns out to be a good alternative to bootstrap methods, which is generally used
关键词：Glejser test, skewness, influence function, quantile regression