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The sensitivity of chi-squared goodness-of-fit tests to the partitioning of data
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Smith, Jeremy (2004) The sensitivity of chi-squared goodness-of-fit tests to the partitioning of data. Working Paper. [Coventry]: University of Warwick, Department of Economics. Warwick economic research papers (No.694).
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
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) | ||||
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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] | ||||
Official Date: | January 2004 | ||||
Dates: |
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Number: | No.694 | ||||
Number of Pages: | 35 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Description: | Working paper. |
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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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