The F-test of homoscedasticity for correlated normal variables

Using the F-representation of t, the Pitman-Morgan t-test for homoscedasticity under a bivariate normal setup is shown to be equivalent to an F-test on n-2 and n-2 degrees of freedom. This yields an F-test of independence under normality.

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Year of publication:	2001
Authors:	Cacoullos, Theophilos
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 54.2001, 1, p. 1-3
Publisher:	Elsevier
Keywords:	F-representation of t Pitman-Morgan test Wilks [beta]-criterion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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