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The properties of some goodness-of-fit tests

Boero, Gianna - Smith, Jeremy - Wallis, Kenneth F. (2002) The properties of some goodness-of-fit tests. Working Paper. CRENoS.


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The properties of Pearson’s goodness-of-fit test, as used in density forecast evaluation, income distribution analysis and elsewhere, are analysed. The components-of-chi-squared or “Pearson analog” tests of Anderson (1994) are shown to be less generally applicable than was originally claimed. For the case of equiprobable classes, where the general components tests remain valid, a Monte Carlo study shows that tests directed towards skewness and kurtosis may have low power, due to differences between the class boundaries and the intersection points of the distributions being compared. The power of individual component tests can be increased by the use of nonequiprobable classes.

Item Type:Technical Report / Working Paper / Project Report (Working Paper)
Institution:Universita' degli Studi di Cagliari
Divisions:Centri > CRENoS Centro Ricerche Economiche Nord Sud
Subjects:Area 13 - Scienze economiche e statistiche > SECS-P/05 Econometria
Uncontrolled Keywords:Pearson’s Goodness-of-fit test, Component tests, Distributional assumptions, Monte Carlo, Normality, Nonequiprobable partitions
ID Code:269
Deposited On:11 Nov 2008 09:30

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