[Gretl-users] Behrens-Fisher problem

[Allin Cottrell]

On Thu, 8 Jun 2006, Sven Schreiber wrote:

> Thanks Allin; ok, let's see if I understood your replies correctly:
>
> 1. The stand. dev. formula that is used in the 2-means test depends on
> whether both samples are large (n>30) or not.

Yes, that's right.

> 2. If one of the samples is "small", then a formula is used that appears
> to be valid only in the case of equal variances.

True.

> 3. there is no known/accepted way to test an arbitrary difference of
> means in small samples with unequal (and unknown) variances

So far as I understand it, yes.

> Provided those assessments are correct, I would suggest the following:
>
> ad 1) I would like to see some mention of which assumption/formula is
> used in the test output, or make it a user option.

Yes, that should be done.

> ad 2) This is unfortunate given that the user explicitly choose the
> option "do not assume equal variances". The easiest workaround is to use
> the asymptotic formula instead and print a warning in the output that
> the approximation may be poor due to the sample size.

OK, we'll do that.

Allin.