Methoden vergelijken

	Goldfeld-Quandt-test voor heteroskedasticiteit	Gewogen Kleinste Kwadraten (GKK)
Vakgebied	Econometrie	Statistiek
Familie	Hypothesis test	Regression model
Jaar van ontstaan	1965	1935
Grondlegger	Stephen Goldfeld & Richard Quandt	Alexander Craig Aitken
Type	F-ratio test for heteroskedasticity	Weighted linear estimator
Oorspronkelijke bron	Goldfeld, S. M., & Quandt, R. E. (1965). Some tests for homoscedasticity. Journal of the American Statistical Association, 60(310), 539–547.	Aitken, A. C. (1935). IV.—On least squares and linear combination of observations. Proceedings of the Royal Society of Edinburgh, 55, 42–48.
Aliassen	GQ Test, Goldfeld-Quandt Heteroskedasticity Test, Split-Sample Variance Ratio Test, Goldfeld-Quandt Homojenlik Testi	WLS, weighted regression, heteroscedasticity-corrected OLS, variance-weighted least squares
Verwant	3	3
Samenvatting	The 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.	Weighted Least Squares is a generalization of Ordinary Least Squares (OLS) regression that assigns each observation a weight inversely proportional to its error variance, thereby down-weighting high-variance data points and up-weighting precise ones. Introduced in its general matrix form by Alexander Craig Aitken in 1935, WLS is the canonical remedy when heteroscedasticity is present and the error variance structure is known or can be reliably estimated.