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st: RE: Goldfeldt-Quant versus -hettest-

From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   st: RE: Goldfeldt-Quant versus -hettest-
Date   Tue, 3 Feb 2004 23:58:14 -0000

A Google on "Goldfeld-Quandt Stata" [sic] throws 
up various recipes to try at home. 

Not your question, but I'll put in a plug for 
a user-written plot program called -rdplot-. 

It's no doubt eccentric, but given a choice 
I'd always choose a purpose-driven graph over 
a test statistic with P-value. Of course, you 
can have both. 

[email protected] 

Richard Williams
> 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? 

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