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st: ttest


From   "Daniel Hoechle" <daniel.hoechle@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: ttest
Date   Fri, 16 Feb 2007 17:26:19 +0100

Dear all,

The Stata-manual entry on [R] "ttest - Mean comparison tests" (p.486)
states that Student's t-test for the equality of means can be
replicated by aid of a simple linear regression if the two groups'
variances are assumed to be unknown but identical.

Specifically, regressing the subject observations on a dummy variable
which is one for individuals that belong to group 1 and zero otherwise
produces a coefficient estimate and t-stat for the dummy variable
which are identical to those of the respective t-test.

I would highly appreciate if anyone could give me a reference with a
formal proof of this relationship. Thanks a lot in advance.

Best,
Daniel

--
*******************************************
Daniel Hoechle
Department of Finance
WWZ of the University of Basel
Holbeinstrasse 12
CH-4051 Basel

phone +41 61 267 32 43
email daniel.hoechle@unibas.ch
*******************************************
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