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From |
"Lachenbruch, Peter" <Peter.Lachenbruch@oregonstate.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: How do I test that two subsample have different coefficient of variation? |

Date |
Thu, 10 Jul 2008 13:50:12 -0700 |

Perhaps a naïve approach would be to bootstrap the cv with a few thousand reps. An obvious problem arises if the mean is near 0. I suspect one should restrict this to positive random variables, but I have no theory to go on. Tony Peter A. Lachenbruch Department of Public Health Oregon State University Corvallis, OR 97330 Phone: 541-737-3832 FAX: 541-737-4001 -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Austin Nichols Sent: Thursday, July 10, 2008 11:51 AM To: statalist@hsphsun2.harvard.edu Subject: Re: st: How do I test that two subsample have different coefficient of variation? Antonio Vezzani <antonio.vezzani@uniroma2.it> et al.-- Maarten provides a link to testing equality of variances (of errors) using -robvar- (help sdtest) and Nick proposes working on a log scale (for strictly positive variables only), but neither of these are actually a test of equality of CV. I suspect Yulia Marchenko could outline a general procedure using -xtmixed- (http://www.stata-journal.com/article.html?article=st0095). I will propose yet another answer that does not do exactly what you want: -geivars- on SSC will calculate SEs for the squared coef of variation (see also http://econpapers.repec.org/paper/bocasug06/16.htm). As for a simple command to follow sysuse auto, clear tabstat price, stat(cv) by(for) allowing a test of equality of CV, I don't think there is one. I believe the sampling distribution of the CV is tricky... esp. if one is unwilling to stipulate that the variable of interest is normally distributed in the population: http://www.ripublication.com/ijss/ijssv1n1_5.pdf Gupta RC, Ma S. Testing the equality of the coefficient of variation in k normal populations. Communications in Statistics. 1996;25:115-132. Wilson CA, Payton ME. Modelling the coefficient of variation in factorial experiments. Communications in Statistics-Theory and Methods. 2002;31:463-476. Perhaps working with the reciprocal (mean/sd) offers greater stability? http://ieeexplore.ieee.org/Xplore/login.jsp?url=/iel3/24/8488/00370217.pdf?temp=x but I can't see that paper, just this abstract: Sharma, K.K. and H. Krishna. 1994. "Asymptotic sampling distribution of inversecoefficient-of-variation and its applications" IEEE Transactions on Reliability, 43(4):630 - 633. This paper develops the asymptotic sampling distribution of the inverse of the coefficient of variation (InvCV). This distribution is used for making statistical inference about the population CV (coefficient of variation) or InvCV without making an assumption about the population distribution. On Thu, Jul 10, 2008 at 1:13 PM, Maarten buis <maartenbuis@yahoo.co.uk> wrote: > --- Antonio Vezzani <antonio.vezzani@uniroma2.it> wrote: >> If, for example, in auto.dta I want to test that price have >> different coefficient of variation for foreign and domestic auto, >> which is the right procedure? > > Christopher F. Baum (206) Stata tip 38: Testing for groupwise > heteroskedasticity, The Stata Journal, 6(4): 590--592. > http://www.stata-journal.com/article.html?article=st0117 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: How do I test that two subsample have different coefficient of variation?***From:*"Verkuilen, Jay" <JVerkuilen@gc.cuny.edu>

**References**:**st: How do I test that two subsample have different coefficient of variation?***From:*Antonio Vezzani <antonio.vezzani@uniroma2.it>

**Re: st: How do I test that two subsample have different coefficient of variation?***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**Re: st: How do I test that two subsample have different coefficient of variation?***From:*"Austin Nichols" <austinnichols@gmail.com>

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