Think statistically. What are the reasons to prefer one test over the
other? It they are testing at the same level, then the only reason to
prefer one of them is because one of them has a greater power. Is there a
uniformly most powerful heteroskedasticity test? Oh Gosh, I doubt that it
is possible to construct a UMPT for anything but simple situations of
one-sided testing when a sample is taken from a normal distribution -- you
implicitly use this knowledge in the t-test (nobody ever discussed why
t-test is preferred to anything else, right?)
Part of what confuses me is that GQ and -hettest- both seem to test, or can
test, similar hypotheses. In the most basic case, if I run
