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The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach

Author

Listed:
  • Lauren Bin Dong

    (Statistics Canada)

Abstract
A new theoretical solution to the Behrens-Fisher (BF) problem is developed using empirical likelihood method. The sampling properties of the empirical likelihood ratio (ELR) test for the BF problem are derived using Monte Carlo simulation technique for a wide range of situations. A comparison of the size and power of the ELR test and the Welch-Aspin test is conducted for a special case of small sample sizes. The empirical results indicate that the ELR test for the BF problem has good power properties.

Suggested Citation

  • Lauren Bin Dong, 2004. "The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach," Econometrics Working Papers 0404, Department of Economics, University of Victoria.
    • Handle: RePEc:vic:vicewp:0404
    Note: ISSN 1485-6441
    as

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    File URL: https://www.uvic.ca/socialsciences/economics/_assets/docs/econometrics/ewp0404.pdf
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    References listed on IDEAS

    as
    1. repec:cup:cbooks:9780521623940 is not listed on IDEAS
    2. Lauren Bin Dong & David E. A. Giles, 2004. "An Empirical Likelihood Ratio Test for Normality," Econometrics Working Papers 0401, Department of Economics, University of Victoria.
    3. Bera, Anil K. & Bilias, Yannis, 2002. "The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 51-86, March.
    4. Mittelhammer, Ronald C. & Judge, George G. & Schoenberg, Ron, 2003. "Empirical Evidence Concerning the Finite Sample Performance of EL-Type Structural Equation Estimation and Inference Methods," CUDARE Working Papers 25090, University of California, Berkeley, Department of Agricultural and Resource Economics.
    5. Jing, Bing-Yi, 1995. "Two-sample empirical likelihood method," Statistics & Probability Letters, Elsevier, vol. 24(4), pages 315-319, September.
    6. Giles, Judith A & Giles, David E A, 1993. "Pre-test Estimation and Testing in Econometrics: Recent Developments," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 145-197, June.
    7. Weerahandi, Samaradasa, 1987. "Testing Regression Equality with Unequal Variances," Econometrica, Econometric Society, vol. 55(5), pages 1211-1215, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Behrens-Fisher Problem; Empirical Likelihood; Monte Carlo Simulation; Testing for Normality; Size and Power.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions

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