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Re: st: Re: RE: Goldfeldt-Quant versus -hettest-


From   Richard Williams <Richard.A.Williams.5@nd.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: RE: Goldfeldt-Quant versus -hettest-
Date   Tue, 03 Feb 2004 23:01:52 -0500

At 06:43 PM 2/3/2004 -0600, Scott Merryman wrote:
Greene does note (page 509, 4th ed) that if the disturbances in the two groups
are normally distributed, then the Goldfeld-Quandt statistic is exactly
distributed as an F. If not, then the F distribution is only approximate and an
alternative with known large sample properties - such as White's test - may be
preferred.
Greene's discussion is helpful, thanks. I still find myself wondering why/if you would ever want to use GQ over some of the alternatives. GQ is one of those things I'll probably keep teaching just for the sake of reading competency if nothing else, but I'm not sure how really vital it is given seemingly simpler, more powerful and more flexible alternatives.

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