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st: Goldfeldt-Quant versus -hettest-

From   Richard Williams <[email protected]>
To   [email protected]
Subject   st: Goldfeldt-Quant versus -hettest-
Date   Tue, 03 Feb 2004 18:42:09 -0500

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.

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