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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.