Including remote .js files to scripts[] array doesn't work

In my Zen subtheme .info file, adding

scripts[] = test.js

works; however, adding

scripts[] = http://mysite.com/scripts/header.js

doesn't -- the entry for the remote script is not showing up when I view source. Is there a way to include a remote .js file, or do I need to copy it to my local theme directory? We have a number of websites and want to keep this .js in one place, if possible.

I have cleared cached data to see if that made a difference.