Implementation of a new solution to the multivariate Behrens-Fisher problem

Krishnamoorthy and Yu (2004, Statistics and Probability Letters 66: 161–169) published a new approximate solution to the multivariate Behrens– Fisher problem. It is a modification of Nel and Van der Merwe’s (1986, Communications in Statistics, Theory and Methods 15: 3719–3735) test. The test is invariant and identical to Welch's test for one-dimensional data. In this article, I describe an implementation of the test in Stata. The hotelmnm command allows you to perform the test easily and returns computed values for possible further computations. Copyright 2009 by StataCorp LP.