Thanks for all the feedback on the issue.
I will look into the suggestions and summarize the findings later to the
list.
I assume no one has encountered the using GMM in this context with Stata?
- Tom
-----Urspr�ngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von David Airey
Gesendet: Montag, 8. Januar 2007 00:17
An: [email protected]
Betreff: re: st: -oneway- and unequal variances
> Hi,
>
> comparing ten portfolios of returns using -oneway- , Bartlett's
> test for
> equal variances always highly rejects the null hypothesis.
>
> 1.) What routines can be used in Stata if the assumptions of ANOVA are
> violated?
>
> 2.) Generally speaking, does the violation of ANOVA assumption
> shift the
> F-test to more conservative results (i.e. tends not to reject H0 of
> equality)?
>
> I am aware that nonparametric tests like the Kruskal-Wallis test ( -
> kwallis-
> , -kwallis2- ) can help with settings where the normality
> assumption of the
> ANOVA is violated, but it still assumes equal variance.
>
> Thanks for your feedback.
> Tom
On a practical note, check out the UCLA commands fstar and wtest,
both of which try to deal with departures from the assumption of same
variances.
findit fstar
findit wtest
Regarding your second question, things can go either way. To find
out, try the UCLA simanova command:
findit simanova
To see these commands in action prior to use, go to the URL:
http://www.ats.ucla.edu/stat/Stata/Library/homvar.htm
Cheers,
-Dave
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