Theory & Methods: A Weighted Least Squares Approach to Levene's Test of Homogeneity of Variance

In 1960 Levene suggested a potentially robust test of homogeneity of variance based on an ordinary least squares analysis of variance of the absolute values of mean‐based residuals. Levene's test has since been shown to have inflated levels of significance when based on the F‐distribution, and tests a hypothesis other than homogeneity of variance when treatments are unequally replicated, but the incorrect formulation is now standard output in several statistical packages. This paper develops a weighted least squares analysis of variance of the absolute values of both mean‐based and median‐based residuals. It shows how to adjust the residuals so that tests using the F ‐statistic focus on homogeneity of variance for both balanced and unbalanced designs. It shows how to modify the F ‐statistics currently produced by statistical packages so that the distribution of the resultant test statistic is closer to an F‐distribution than is currently the case. The weighted least squares approach also produces component mean squares that are unbiased irrespective of which variable is used in Levene's test. To complete this aspect of the investigation the paper derives exact second‐order moments of the component sums of squares used in the calculation of the mean‐based test statistic. It shows that, for large samples, both ordinary and weighted least squares test statistics are equivalent; however they are over‐dispersed compared to an F variable.