Wilcox, Rand Comparing the variances of two dependent variables. (English) Zbl 1359.62064 J. Stat. Distrib. Appl. 2, Paper No. 7, 8 p. (2015). Summary: Various methods have been derived that are designed to test the hypothesis that two dependent variables have a common variance. Extant results indicate that all of these methods perform poorly in simulations. The paper provides a new perspective on why the Morgan-Pitman test does not control the probability of a Type I error when the marginal distributions have heavy tails. This new perspective suggests an alternative method for testing the hypothesis of equal variances and simulations indicate that it continues to perform well in situations where the Morgan-Pitman test performs poorly. Cited in 5 Documents MSC: 62F03 Parametric hypothesis testing 62G10 Nonparametric hypothesis testing 62J10 Analysis of variance and covariance (ANOVA) Keywords:Morgan-Pitman test; heteroscedasticity; HC4 estimator; well elderly 2 study Software:WRS2 PDFBibTeX XMLCite \textit{R. Wilcox}, J. Stat. Distrib. Appl. 2, Paper No. 7, 8 p. (2015; Zbl 1359.62064) Full Text: DOI References: [1] Clark, F, Jackson, J, Carlson, M, Chou, CP, Cherry, BJ, Jordan-Marsh, M, Knight, BG, Mandel, D, Blanchard, J, Granger, DA, Wilcox, RR, Lai, MY, White, B, Hay, J, Lam, C, Marterella, A, Azen, SP: Effectiveness of a lifestyle intervention in promoting the well-being of independently living older people: results of the Well Elderly 2 Randomise Controlled Trial. J. Epidemiol. Community Health. 66, 782-790 (2011). doi:10.1136/jech.2009.099754 · doi:10.1136/jech.2009.099754 [2] Cribari-Neto, F: Asymptotic inference under heteroskedasticity of unknown form. Comput. Stat. 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