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Wednesday, September 7, 2011

A Tale of Two Tests

Here's a puzzle for you. It relates to two very standard tests that you usually encounter in a first (proper) course in econometrics. One is the Chow (1960) test for a structural break in the regression model's coefficient vector; and the other is the Goldfeld and Quandt (1965) test for homoskedasticity, against a particularly simple form of heteroskedasticity.

What's the puzzle, exactly?