Evaluation of the Goldfeld-Quandt test and alternatives

Date
1994
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Bilkent University
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Language
English
Type
Thesis
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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.

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Keywords
Ileteroskedasticity, linear r('gr('ssion model, Coldfeld-Quandt test, stringency measure, Likelihood liatio test, Monte Carlo methods, KullbackLiebler Distance
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Published Version (Please cite this version)