It seems to me that this is a good candidate for a packaged function, no? cheers, sven
Ignacio Diaz-Emparanza schrieb: > 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> >
