Re: st: Re: RE: Goldfeldt-Quant versus -hettest-

[Richard Williams <Richard.A.Williams.5@nd.edu>]

At 06:43 PM 2/3/2004 -0600, Scott Merryman wrote:
> Greene does note (page 509, 4th ed) that if the disturbances in the two groups
> are normally distributed, then the Goldfeld-Quandt statistic is exactly
> distributed as an F.  If not, then the F distribution is only approximate 
> and an
> alternative with known large sample properties - such as White's test - may be
> preferred.
Greene's discussion is helpful, thanks.  I still find myself wondering 
why/if you would ever want to use GQ over some of the alternatives.  GQ is 
one of those things I'll probably keep teaching just for the sake of 
reading competency if nothing else, but I'm not sure how really vital it is 
given seemingly simpler, more powerful and more flexible alternatives.

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