Dear all,
The Stata-manual entry on [R] "ttest - Mean comparison tests" (p.486)
states that Student's t-test for the equality of means can be
replicated by aid of a simple linear regression if the two groups'
variances are assumed to be unknown but identical.
Specifically, regressing the subject observations on a dummy variable
which is one for individuals that belong to group 1 and zero otherwise
produces a coefficient estimate and t-stat for the dummy variable
which are identical to those of the respective t-test.
I would highly appreciate if anyone could give me a reference with a
formal proof of this relationship. Thanks a lot in advance.
Best,
Daniel
--
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Daniel Hoechle
Department of Finance
WWZ of the University of Basel
Holbeinstrasse 12
CH-4051 Basel
phone +41 61 267 32 43
email [email protected]
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