A Parametric Bootstrap Test for Comparing Heteroscedastic Regression Models

Abstract

Testing equality of regression coefficients in several regression models is a common problem encountered in many applied fields. This article presents a parametric bootstrap (PB) approach and compares its performance to that of another simulation-based approach, namely, the generalized variable approach. Simulation studies indicate that the PB approach controls the Type I error rates satisfactorily regardless of the number of regression models and sample sizes whereas the generalized variable approach tends to be very liberal as the number of regression models goes up. The proposed PB approach is illustrated using a data set from stability study.

Keywords:

• Generalized variable
• Heteroscedasticity
• P-value
• Type I error

Mathematics Subject Classification:

• 03C98
• 62P20