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Heteroscedasticity: multiple degrees of freedom vs. sandwich estimation

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  • Mario Hasler

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

Suggested Citation

  • Mario Hasler, 2016. "Heteroscedasticity: multiple degrees of freedom vs. sandwich estimation," Statistical Papers, Springer, vol. 57(1), pages 55-68, March.
    • Handle: RePEc:spr:stpapr:v:57:y:2016:i:1:p:55-68
    DOI: 10.1007/s00362-014-0640-4
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    References listed on IDEAS

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    1. Wenguang Sun & Alexander C. McLain, 2012. "Multiple Testing of Composite Null Hypotheses in Heteroscedastic Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 673-687, June.
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    4. Freedman, David A., 2006. "On The So-Called "Huber-Sandwich Estimator" and "Robust Standard Errors"," The American Statistician, American Statistical Association, vol. 60, pages 299-302, November.
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    6. Zeileis, Achim, 2006. "Object-oriented Computation of Sandwich Estimators," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 16(i09).
    7. Esther Herberich & Johannes Sikorski & Torsten Hothorn, 2010. "A Robust Procedure for Comparing Multiple Means under Heteroscedasticity in Unbalanced Designs," PLOS ONE, Public Library of Science, vol. 5(3), pages 1-8, March.
    8. Joachim Hartung & Dogan Argaç & Kepher Makambi, 2002. "Small sample properties of tests on homogeneity in one—way Anova and Meta—analysis," Statistical Papers, Springer, vol. 43(2), pages 197-235, April.
    9. Hong Li & Wei Ning, 2012. "Multiple comparisons with a control under heteroscedasticity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(10), pages 2275-2283, June.
    10. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
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