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Goldfeld-Quandt test: unbiasedness vs symmetry

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Zieliński W., Department of Econometrics and Statistics Agricultural University Warsaw
Acta Universitatis Lodziensis. Folia Oeconomica
|
2008
|
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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