Hypothesis testHeteroskedasticity
Goldfeld-Quandt 异方差检验
Goldfeld-Quandt 检验由 Stephen Goldfeld 和 Richard Quandt 于 1965 年提出，是一种经典的用于检测 OLS 回归中异方差的诊断程序。其操作方法是：根据被怀疑驱动方差的变量对观测值进行排序，省略中间部分，在两个尾部子样本上分别拟合回归，并通过 F 比率比较它们的残差方差。该检验特别适用于误差方差被认为随观测回归量单调增加或减少的情况。
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来源
- 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 ↗
如何引用本页
ScholarGate. (2026, June 2). Goldfeld-Quandt Test for Heteroskedasticity. ScholarGate. https://scholargate.app/zh/econometrics/goldfeld-quandt-test
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