Boero, Gianna , Smith, Jeremy 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:	25
Institution:	University of Warwick
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access (Creative Commons)

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