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Ujian Goldfeld-Quandt untuk Heteroskedastisitas×Ujian Breusch-Pagan untuk Heteroskedastisitas×
BidangEkonometrikEkonometrik
KeluargaHypothesis testRegression model
Tahun asal19651979
PengasasStephen Goldfeld & Richard QuandtTrevor Breusch & Adrian Pagan
JenisF-ratio test for heteroskedasticityLagrange-multiplier test for heteroskedasticity
Sumber perintisGoldfeld, S. M., & Quandt, R. E. (1965). Some tests for homoscedasticity. Journal of the American Statistical Association, 60(310), 539–547. DOI ↗Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica, 47(5), 1287–1294. DOI ↗
AliasGQ Test, Goldfeld-Quandt Heteroskedasticity Test, Split-Sample Variance Ratio Test, Goldfeld-Quandt Homojenlik TestiBP test, Breusch-Pagan-Godfrey test, Lagrange multiplier test for heteroskedasticity, Breusch-Pagan değişen varyans testi
Berkaitan33
RingkasanThe Goldfeld-Quandt test, introduced by Stephen Goldfeld and Richard Quandt in 1965, is a classical diagnostic procedure for detecting heteroskedasticity in OLS regression. It operates by sorting observations according to a variable suspected of driving variance, omitting a central block, fitting separate regressions on the two tail sub-samples, and comparing their residual variances via an F-ratio. The test is particularly well-suited to situations where the error variance is believed to increase or decrease monotonically with an observed regressor.The Breusch-Pagan test, introduced by Trevor Breusch and Adrian Pagan in 1979, is a Lagrange-multiplier test for heteroskedasticity — the condition where the variance of a regression's errors changes with the explanatory variables. It works by regressing the squared OLS residuals on candidate variables and checking whether they explain any of the residual variation, signalling that the constant-variance assumption is violated.
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ScholarGateBandingkan kaedah: Goldfeld-Quandt Test · Breusch-Pagan Test. Dicapai 2026-06-19 daripada https://scholargate.app/ms/compare