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| Goldfeld-Quandt 异方差检验× | White异方差检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族≠ | Hypothesis test | Regression model |
| 起源年份≠ | 1965 | 1980 |
| 提出者≠ | Stephen Goldfeld & Richard Quandt | Halbert White |
| 类型≠ | F-ratio test for heteroskedasticity | General test for heteroskedasticity |
| 开创性文献≠ | Goldfeld, S. M., & Quandt, R. E. (1965). Some tests for homoscedasticity. Journal of the American Statistical Association, 60(310), 539–547. DOI ↗ | White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817–838. DOI ↗ |
| 别名≠ | GQ Test, Goldfeld-Quandt Heteroskedasticity Test, Split-Sample Variance Ratio Test, Goldfeld-Quandt Homojenlik Testi | White's general heteroskedasticity test, White değişen varyans testi |
| 相关 | 3 | 3 |
| 摘要≠ | 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. | The White test, introduced by Halbert White in 1980, is a general test for heteroskedasticity that makes no assumption about its functional form. It regresses the squared OLS residuals on the regressors, their squares, and their cross-products, so it can detect heteroskedasticity related to any of these terms. The same 1980 paper introduced the heteroskedasticity-consistent ('White') standard errors that are the standard remedy when the test rejects. |
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