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Goldfeld-Quandt Test

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.

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Goldfeld-Quandt Test for Heteroskedasticity

Taksonomisk metoderegister · hypothesis-test / econometrics

Goldfeld, S. M., & Quandt, R. E. (1965). Some tests for homoscedasticity. Journal of the American Statistical Association, 60(310), 539–547. · DOI 10.1080/01621459.1965.10480811

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