The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach

Lauren Bin Dong ()
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Lauren Bin Dong: Statistics Canada

No 404, Econometrics Working Papers from Department of Economics, University of Victoria

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.

Keywords: Behrens-Fisher Problem; Empirical Likelihood; Monte Carlo Simulation; Testing for Normality; Size and Power. (search for similar items in EconPapers)
JEL-codes: C12 C15 C16 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2004-07-06
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: ISSN 1485-6441
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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicewp:0404

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