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re: st: -oneway- and unequal variances


From   David Airey <[email protected]>
To   [email protected]
Subject   re: st: -oneway- and unequal variances
Date   Sun, 7 Jan 2007 17:17:18 -0600

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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