The rejection rule for the Goldfeld-Quandt test at the 95% level is reject H₀ if A) $G Q F _ { n _ { 1 } - k _ { 1 } , n _ { 2 } - k _ { 2,0 } 05 }$ B) $G Q F _ { n _ { 1 } - k _ { 1 } , n _ { 2 } - k _ { 2 } , 025 }$ D) $G Q 1$

Question

The rejection rule for the Goldfeld-Quandt test at the 95% level is reject H₀ if A) $G Q > F _ { n _ { 1 } - k _ { 1 } , n _ { 2 } - k _ { 2,0 } 05 }$ B) $G Q < .05$ C) $G Q > F _ { n _ { 1 } - k _ { 1 } , n _ { 2 } - k _ { 2 } , 025 }$ D) $G Q > 1$

Quizplus · Accepted Answer

The Goldfeld-Quandt test is used to test for heteroscedasticity. The rejection rule involves comparing the test statistic (GQ) to a critical value from the F-distribution. The correct critical value is denoted as $F_{n_1-k_1, n_2-k_2, \alpha}$, where $\alpha$ is the significance level (0.05 for a 95% confidence level). Therefore, option A correctly specifies the rejection rule by indicating that HS should be rejected if $GQ$ is greater than the critical value from the F-distribution at the specified degrees of freedom and significance level.

The Rejection Rule for the Goldfeld-Quandt Test at the 95 GQ>Fn1−k1,n2−k2,005G Q > F _ { n _ { 1 } - k _ { 1 } , n _ { 2 } - k _ { 2,0 } 05 }GQ>Fn1​−k1​,n2​−k2,0​05​

The Rejection Rule for the Goldfeld-Quandt Test at the 95 $G Q > F _ { n _ { 1 } - k _ { 1 } , n _ { 2 } - k _ { 2,0 } 05 }$