Scheffé's method for identifying statistically significant contrasts is widely known. A **contrast** among the means $\mu_i$, $i=1,\ldots,r$ of $r$ populations is a linear combination $\sum_{i=1}^r c_i \mu_i$ in which $\sum_{i=1}^r c_i=0$, and a scalar multiple of a contrast is essentially the same contrast, so one could say the set of contrasts is a projective space. Scheffé's method tests a null hypothesis that says *all* contrasts among these $r$ populations is $0$, and given a significance level $\alpha$, rejects the null hypothesis with probability $\alpha$ given that the null hypothesis is true. And if the null hypothesis is rejected, Scheffé points out that his test tells us *which* contrasts differ significantly from $0$ (I'm not sure the Wikipedia article I linked to points that out).

I would like to know if one can do something similar in a different sort of situation. Consider a simple linear regression model $Y_i = \alpha + \beta x_i + \varepsilon_i$, where $\varepsilon_i\sim\operatorname{i.i.d.}N(0,\sigma^2)$, $i=1,\ldots,n$.

The null hypothesis I want to consider concerns a different sort of contrast. It says there is no subset $A\subseteq\lbrace 1,\ldots,n\rbrace$ such that $E(Y_i) = \alpha_1 + \beta x_i$ for $i\in A$ and $E(Y_i) = \alpha_2 + \beta x_i$ for $i\not\in A$, where $\alpha_1\ne\alpha_2$. If the subset $A$ is specified in advance, then an ordinary two-sample $t$-test does it, but we want something that considers all subsets and holds down the probability of rejecting a true null hypothesis.

One could figure this out if efficiency were not a concern: find a test that goes through all $2^{n-1}-1$ possibilities. Even then it's problematic; two contrasts would not be independent. I asked an expert on outlier detection about this and he just said it's a combinatorial nightmare. Then I asked if one could *prove* that there's no efficient way to do it, perhaps by reducing an NP-hard problem to it. He just said he stays away from NP-hard problems.

So: Can one prove either that this problem is "hard" or that it's not?

harderproblem than the ones he had spoken on. – Michael Hardy Jun 5 '13 at 1:07