Don't bother. Do the Breusch-Pagan test (estat hettest in official
Stata) using the single variable on which you would divide the data
into subsamples (e.g., firm size) in its varlist. The G-Q test is
outdated and has very low power relative to the B-P test, as many
textbooks will tell you.
Kit
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
On Oct 29, 2008, at 22:01 , Alessandro Giambattista wrote:
Hi, I'm not sure I'll get an answer, but still it's worth to try:
I'm trying to do the Goldfeld-Quant test for heteroscedasticity with
Stata but I do not know hot to perform it. I've been told I have to
divide the sample in two subsamples, somehow sort the data and then
perform it.
Could you help me?
Thanks,
An econometric student
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