ANOVA vs likelihood ratio test (different result) I found the likelihood ratio test has a very similar setup as ANOVA: we are essentially testing if adding an additional variable would significantly increase the fitness. So I run both statistical tests on a simple dataset.
> y = c(1,2,3,5,4,3)
> x = c("control", "control", "control", "treatment", "treatment","treatment")

# compare a more complicated model with a simple model, using anova
> anova(lm(y~1), lm(y~x))

## Analysis of Variance Table
##
## Model 1: y ~ 1
## Model 2: y ~ x
##   Res.Df RSS Df Sum of Sq  F  Pr(>F)  
## 1      5  10                          
## 2      4   4  1         6  6 0.07048 .
## ---
## Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1




# compare a more complicated model with a simple model, using lrt
> lrtest(lm(y~1), lm(y~x))

## Likelihood ratio test
##
## Model 1: y ~ 1
## Model 2: y ~ x
##   #Df   LogLik Df  Chisq Pr(>Chisq)  
## 1   2 -10.0461                       
## 2   3  -7.2972  1 5.4977    0.01904 *
## ---
## Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1


They give me different results. I was wondering why this is the case. Is it because of likelihood ratio test is based on MLE, which gives us a biased variance? Or is it because of asymptotic of lrt? More importantly, which one should I use?

Note that in ANOVA output, you're using F-test, where F-distribution is essential the ratio of two chi-square random variable, while in likelihood ratio test output, you're using chi-square test (asymptotic distribution of likelihood ratio test statistics), that's where the difference coming from.   I believe with only 6 sample, F-test is a better choice, but I'd point out F-test itself is a likelihood ratio test, where the latter is a general idea about how to construct testing statistics.
