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RE: st: Testing equality of means with correlated samples?


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Testing equality of means with correlated samples?
Date   Wed, 27 Apr 2005 17:27:50 +0100

This problem is discussed, among other places, 
in Rupert Miller's book "Beyond ANOVA". As 
you say, the issue is getting a more accurate P-value. 
I think you can do that if you also have a serial 
correlation, i.e. the dependence arises because
these values are from a time series. I am not aware
that the procedure is canned as a Stata program, but 
it should yield to calculator-style manipulations. 

Nick 
n.j.cox@durham.ac.uk 

Berk Sensoy
 
> Thanks for your answer, but I don't think it will work because ttest
> assumes that variables in each sample are iid.
> Essentially, because observations of each variable are correlated, I
> have fewer effective observations than actual observations, so ttests
> understate the standard error of the mean.
> 
> Anyone know how to test mean(A)=mean(B) when cov(ai,aj) != 0 and
> cov(bi,bj) != 0?

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