Smith, Jeremy (Jeremy P.) (2004) The sensitivity of chi-squared goodness-of-fit tests to the partitioning of data. Working Paper. University of Warwick, Department of Economics, [Coventry].

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Abstract

In this paper we conduct a Monte Carlo study to determine the power of Pearson’s overall goodness-of-fit test as well as the “Pearson analog” tests (see Anderson (1994)) to detect rejections due to shifts in variance, skewness and kurtosis, as we vary the number and location of the partition points. Simulations are conducted for small and moderate sample sizes. While it is generally recommended that to improve the power of the goodness-of-fit test the partition points are equiprobable, we find that power can be improved by the use of non-equiprobable partitions.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Goodness-of-fit tests, Econometric models
Series Name:	Warwick economic research papers
Publisher:	University of Warwick, Department of Economics
Place of Publication:	[Coventry]
Date:	January 2004
Number:	No.694
Number of Pages:	35
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Description:	Working paper.
Version or Related Resource:	Boero, G., Smith, J. and Wallis, K. F. (2004). The sensitivity of chi-squared goodness-of-fit tests to the partitioning of data. Econometric Reviews, 23, pp.341-370.
Related URLs:	http://dx.doi.org/10.1081/ETC-200040782
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URI:	http://wrap.warwick.ac.uk/id/eprint/126

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