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? Thanks for
any advice.
