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Goldfeld–Quandt test


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A test for heteroscedasticity applicable when the observations can be ordered according to non-decreasing variance. The test is carried out by omitting r central observations and running two separate regressions on the first and the last (Nr)/2 observations. Under the null hypothesis of homoscedasticity the test statistic, GQ = S2/S1, has an F(Nr)/2ijij − K, (Nr)/2 − K) distribution, where S1 and S2 are the sums of squared residuals from the first and the second test regressions, N is the sample size, and K is the number of explanatory variables in the main regression. The optimum value of r is not known; r ≈ N/3 is frequently used.

Subjects: Economics.


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