Implementation of a new solution to the multivariate Behrens-Fisher problem
Ivan Žežula
Šafárik University
Institute of Mathematics
Slovak Republic
[email protected]
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Abstract. Krishnamoorthy and Yu (2004, Statistics and Probability Letters 66:
161–169) published a new approximate solution to the multivariate
Behrens–Fisher problem. It is a modification of Nel and Van der
Merwe’s (1986, Communications in Statistics, Theory and Methods
15: 3719–3735) test. The test is invariant and identical to
Welch’s test for one-dimensional data. In this article, I describe an
implementation of the test in Stata. The hotelmnm command allows you to
perform the test easily and returns computed values for possible further
computations.
Editors’ note: The mvtest means command introduced in
Stata 11 produces the same test as the hotelmnm command introduced
here. Use the heterogenous option of mvtest means to obtain the test;
see [MV] mvtest means. The hotelmnm command will still be of
interest to those using prior versions of Stata.
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Ivan Žežula
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hotelmnm, multivariate Behrens–Fisher problem, Nel and Van der Merwe's test, Welch's test
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