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Goldfeld-Quandt test: unbiasedness vs symmetry

100%
Zieliński W., Department of Econometrics and Statistics Agricultural University Warsaw
Acta Universitatis Lodziensis. Folia Oeconomica
|
2008
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vol. 216
EN
The Goldfeld-Quandt test for homoscedasticity in a classical linear regression appears to be biased. In the paper an unbiased test is constructed. The result is extended to families of distributions with scale parameter.
PL
Test Goldfelda-Quandta homoscedastyczności stosowany w klasycznym modelu regresji liniowej jest testem obciążonym. W pracy skonstruowano odpowiedni test nieobciążony. Wynik został rozszerzony na rodziny rozkładów z parametrem skali.
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Homoscedasticity test for the linear trend

75%
Domański C., Department of Statistical Methods U. o. Ł.
Acta Universitatis Lodziensis. Folia Oeconomica
|
2002
|
vol. 156
PL
W literaturze statystycznej i ekonometrycznej bardzo wyraźnie podkreśla się znaczenie i metody weryfikacji podstawowych założeń dotyczących modelu ekonometrycznego, chociaż w praktyce niezbyt często postulat ten jest realizowany.
EN
Abstract. In this paper we consider single parameter models of heteroscedastidty: linear, square, exponential, group. A significant predominance of the parametric tests over the peak tests is shown using the variability coefficient as the most natural measure of homosccdasticity and the summary Kendal statistic as a measure of a test power. Another suggestion is that it is worth using the Goldfeld-Quandt parametric test, when the growth in the variance is quite „smooth” (in other case - the classical F-lesl is better). Prevalence of the F-test over the peak test is much smaller.
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