Abstract #300720

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2002 Program page
JSM 2002 Abstract #300720
Activity Number: 176
Type: Contributed
Date/Time: Tuesday, August 13, 2002 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section*
Abstract - #300720
Title: A Test for the Equality of Regression Coefficients when the Regressions are Heteroscedastic
Author(s): Dennis Oberhelman*+ and Rao Kadiyala
Affiliation(s): University of South Carolina and Purdue University
Address: 1705 College Street, Columbia, South Carolina, 29208, USA
Keywords: Behrens Fisher Problem ; Heteroscedasticity ; Linear Model ; Hypothesis Test
Abstract:

Testing for the equality of regression coefficients across two regressions is a problem considered by analysts in a variety of fields. If the variances of the errors of the two regressions are not equal, then it is known that the standard F-test used to test the equality of the coefficients performs poorly in that its actual size can differ substantially from the stated level of significance. This paper addresses this problem and borrows from the literature on the Behrens-Fisher problem to develop an easily applied test whose actual size is close to the stated level of significance. Monte Carlo results indicate that the proposed test is superior to well-known alternative tests over a wide range of the parameter space.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2002 program

JSM 2002

For information, contact meetings@amstat.org or phone (703) 684-1221.

If you have questions about the Continuing Education program, please contact the Education Department.

Revised March 2002