Heteroscedastic Global Tests that the Regression Parameters for Two or More Independent Groups are Identical

Abstract

Simulation results are reported on methods that allow both within group and between group heteroscedasticity when testing the hypothesis that independent groups have identical regression parameters. The methods are based on a combination of extant techniques, but their finite-sample properties have not been studied. Included are results on the impact of removing all leverage points or just bad leverage points. The method used to identify leverage points can be important and can improve control over the Type I error probability. Results are illustrated using data from the Well Elderly II study.

Keywords:

• Analysis of covariance
• HC4 estimator
• Heteroscedasticity
• Johansen’s method
• Robust estimators
• Well Elderly II study

Mathematics Subject Classification:

• 62F03
• 62F35
• 62F40