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The properties of some goodness-of-fit tests

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Boero, Gianna , Smith, Jeremy (Jeremy P.) and Wallis, Kenneth Frank (2002) The properties of some goodness-of-fit tests. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.653).

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Abstract

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:

Working or Discussion Paper (Working Paper)

Subjects:

Q Science > QA Mathematics

Divisions:

Faculty of Social Sciences > Economics

Library of Congress Subject Headings (LCSH):

Goodness-of-fit tests, Statistical hypothesis testing, Monte Carlo method, Distribution (Economic theory), Equilibrium (Economics)

Series Name:

Warwick economic research papers

Publisher:

University of Warwick, Department of Economics

Place of Publication:

Coventry

Official Date:

October 2002

Dates:

Date	Event
October 2002	Published

Number:

No.653

Number of Pages:

Status:

Not Peer Reviewed

Access rights to Published version:

Open Access

References:

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URI:

http://wrap.warwick.ac.uk/id/eprint/1534

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