Testing and estimation of equal variances for correlated variables

Alexander Shapiro () and Ayala Cohen

Statistics & Probability Letters, 1990, vol. 10, issue 3, 231-234

Abstract: For testing the equality of variances for correlated variables, Harris (1985) suggested Wald type test statistics. In this note we show that this test coincides with the generalized least squares statistic employed in the analysis of covariance structures. We derive the generalized least squares estimator of the common variance. This estimator is compared with the average sample variances which is the ordinary least squares estimator for this problem.

Keywords: Covariance; structures; generalized; least; squares; test; of; homogeneity (search for similar items in EconPapers)
Date: 1990
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(90)90079-M
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:10:y:1990:i:3:p:231-234

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().