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The Stata Journal
Volume 9 Number 4: pp. 593-598

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Implementation of a new solution to the multivariate Behrens-Fisher problem

Ivan Žežula
Šafárik University
Institute of Mathematics
Slovak Republic
ivan.zezula@upjs.sk
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.

View all articles by this author: Ivan Žežula

View all articles with these keywords: hotelmnm, multivariate Behrens–Fisher problem, Nel and Van der Merwe's test, Welch's test

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