A Google on "Goldfeld-Quandt Stata" [sic] throws
up various recipes to try at home.
Not your question, but I'll put in a plug for
a user-written plot program called -rdplot-.
It's no doubt eccentric, but given a choice
I'd always choose a purpose-driven graph over
a test statistic with P-value. Of course, you
can have both.
Nick
[email protected]
Richard Williams
> Various textbooks discuss the use of the Goldfeldt-Quant test for
> heteroskedasticity. For those of you who are familiar with
> it, it is a
> little clunky, and requires some arbitrary decisions on how
> to split the
> data. Stata, on the other hand, has the nice easy to use -hettest-
> command, which does the Breusch-Pagan / Cook-Weisberg test for
> heteroskedasticity, and Stata also offers some other tests.
> Is there any
> particular reason I would still prefer GQ given that
> -hettest- and other
> options are available? i.e. are there situations in which GQ is more
> appropriate or will pick up problems that other tests will
> not?
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