The 'improved' brown and forsythe test for mean equality: some things can't be fixed
\textit{D. V. Mehrotra} [Commun. Stat., Simulation Comput. 26, No. 3, 1139-1145 (1997; Zbl 0925.62084)] presented an `improved' Brown and Forsythe statistic which is designed to provide a valid test of mean equality in independent groups designs when variances are heterogeneous. In particular, the usual Brown and Fosythe procedure was modified by using a Satterthwaite approximation for numerator degrees of freedom instead of the usual value of number of groups minus one. Mehrotra then, through Monte Carlo methods, demonstrated that the `improved' method resulted in a robust test of significance in cases where the usual Brown and Forsythe method did not. Accordingly, this `improved' procedure was recommended. We show that under conditions likely to be encountered in applied settings, that is, conditions involving heterogeneous variances as well as nonnormal data, the `improved' Brown and Forsythe procedure results in depressed or inflated rates of Type I error in unbalanced designs. Previous findings indicate, however, that one can obtain a robust test by adopting a heteroscedastic statistic with robust estimators, rather than the usual least squares estimators, and further improvement can be expected when critical significance values are obtained through bootstrapping methods.
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