Heteroscedasticity: multiple degrees of freedom vs. sandwich estimation

Mario Hasler ()

Statistical Papers, 2016, vol. 57, issue 1, 55-68

Abstract: This article addresses the problem of multiple contrast tests in the presence of heteroscedasticity. A procedure applying multiple degrees of freedom and a procedure based on sandwich estimation are described and compared concerning the familywise error type I. The former procedure seems to be most robust in this regard, especially for situations where high variances meet small sample sizes. Copyright Springer-Verlag Berlin Heidelberg 2016

Keywords: Family wise error type I; Heteroscedasticity; Multiple contrast tests; Multivariate $$t$$ t -distribution; Sandwich estimation (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s00362-014-0640-4

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