Glejser test for heteroscedasticity, developed in 1969 by Herbert Glejser, is a statistical test, which regresses the residuals on the explanatory variable that is thought to be related to the heteroscedastic variance.
[1] After it was found not to be asymptotically valid under asymmetric disturbances,[2] similar improvements have been independently suggested by Im,[3] and Machado and Santos Silva.
[4] Step 1: Estimate original regression with ordinary least squares and find the sample residuals ei.
Step 2: Regress the absolute value |ei| on the explanatory variable that is associated with the heteroscedasticity.
Step 3: Select the equation with the highest R2 and lowest standard errors to represent heteroscedasticity.