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st: Re: testing for heteroskedasticity

From   Kit Baum <>
To   "Alessandro Giambattista" <>
Subject   st: Re: testing for heteroskedasticity
Date   Thu, 30 Oct 2008 06:02:45 -0400

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 The G-Q test is outdated and has very low power relative to the B-P test, as many textbooks will tell you.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 Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

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?


An econometric student

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