Re: [Gretl-users] Goldfeld-Quandt heteroscedasticity test: a sigh

Dear Riccardo, 1) incredibly useful example for smpl! Thanks  2) Once I looked through Web course materials    of Pagan: he even do not gives his  own test! White's only A sigh: I can't force my former students to exclude GQ and Glejser's from theirs lessons. They are accustomed to what I tell them in the last century. It seems they are not unique! Oleh 21 грудня 2015, 17:42:13, від "Riccardo (Jack) Lucchetti" < r.lucchetti(a)univpm.it >: On Mon, 21 Dec 2015, Raul Gimeno wrote: For the edification of the youth: <hansl> open mroz87.gdt --quiet list X = WA WE KL6 smpl WW X --no-missing --permanent scalar cutpoint_lo = quantile(WA, 1/3) scalar cutpoint_hi = quantile(WA, 2/3) ols WW 0 X smpl WA<cutpoint_lo --restrict scalar den = $ess / $df scalar df1 = $df ols WW 0 X --quiet smpl WA>=cutpoint_hi --restrict --replace ols WW 0 X --quiet scalar num = $ess / $df scalar df2 = $df smpl full scalar GT = num/den pvalue F df2 df1 GT </hansl> I'd rather not. Nobody uses this test anymore in serious empirical research, and it's rapidly disappearing from textbooks as well. Like Oleh said, you're welcome to submit a function package if you're into antiquities. ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users