TESTING THE EQUALITY OF DEPENDENT VARIANCES

The likelihood ratio test for testing equality of v greater-than-or-equal-to 2 correlated variables is developed. In general, evaluation of the test statistic involves the iterative optimization of a likelihood function with 1 + v(v - 1)/2 parameters. The explicit form of the test statistic is derived in the bivariate case, and an iterative algorithm for determining the maximum likelihood estimates is suggested. A limited Monte Carlo study determines the behavior of the proposed procedure under the null hypothesis and variety of parameter values