The sensitivity of chi-squared goodness-of-fit tests to the partitioning of data
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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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]|
|Number of Pages:||35|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
|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.|
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