[Gretl-users] Feature request...

Ignacio Diaz-Emparanza ignacio.diaz-emparanza at ehu.es
Thu Jun 25 05:36:48 EDT 2009


On Miércoles, 24 de Junio de 2009 22:12:57 Jav escribió:
> Hi everyone. I've been using Gretl for almost two months and I think is a
> really great software for econometric analysis. I want to request another
> test for Heteroskedasticity, I see there's some tests already in Gretl, but
> I don't see the Goldfeld-Quandt contrast and since I'm not that good on
> Gretl's commands I'm having a hard time trying to do that test.
>
> Well, that's pretty much my request... thanks to all.

You have an example on how to do the Goldfeld-Quandt test in /File/script 
files/user file/Practice file/Ramanathan/ps8-3

It is not very long so I include it here:

<script>
# PS8.3, for Example 8.4, Goldfeld-Quandt test
open data8-1 
genr LNSALARY=ln(SALARY)
genr YRS2 = YEARS*YEARS
# estimate log quadratic model for first 75 observations 
smpl 1 75
ols LNSALARY const YEARS YRS2 
genr var1 = $sigma*$sigma
genr df1 = $df
# estimate log quadratic model for last 75 observations 
smpl 148 222
ols LNSALARY const YEARS YRS2 
genr var2 = $sigma*$sigma
genr df2 = $df
# compute F-statistic and pvalue for test 
smpl 1 222
genr Fc = var2/var1
pvalue F df1 df2 Fc 
</script>

-- 
Ignacio Diaz-Emparanza  
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU
Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.et.bs.ehu.es 



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