Evaluation of the Goldfeld-Quandt test and alternatives
Author(s)
Advisor
Zaman, AsadDate
1994Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
In this study, the widely used Coldfeld-C^uandt test for lieterosk('da.sticity
in the linear regression model is evaluated. VV(' reduce the dimension of
the data spa.ce that is needed lor tin' computaticui of tlu' t('sts. VVe tlu'ii
compa.r(‘ the pi'rformaiK'es of tin' Likelihood Ratio and tin* Cloldh'ld-C^uandt
tests by using stringency measure. The problem of analytically non-tractable
distribution function in the case of the Likelihood Ratio test is overcome by
employing Monte Carlo methods.
It is observed that the Likelihood Ratio test is better in most of the cases
than the Goldfeld-Quandt test.
Keywords
Ileteroskedasticitylinear r('gr('ssion model
Coldfeld-Quandt test
stringency measure
Likelihood liatio test
Monte Carlo methods
KullbackLiebler Distance