On Small Sample Inference for Common Mean in Heteroscedastic One-Way Model

In this paper we consider and compare several approximate methods for making small-sample statistical inference on the common mean in the heteroscedastic one-way random effects model.The topic of the paper was motivated by the problem of interlaboratory comparisons and is also known as the (traditional) common mean problem.It is also closely related to the problem of multicenter clinical trials and meta-analysis.Based on our simulation study we suggest to use the approach proposed by Kenward & Roger (1997) as an optimal choice for construction of the interval estimates of the common mean in the heteroscedastic one-way model.