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The sensitivity of Chi-Squared Goodness-of-Fit Tests to the partitioning of data
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Boero, Gianna, Smith, Jeremy and Wallis, Kenneth Frank (2005) The sensitivity of Chi-Squared Goodness-of-Fit Tests to the partitioning of data. Econometric Reviews, Volume 3 (Number 4). pp. 341-370. doi:10.1081/ETC-200040782 ISSN 0747-4938.
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Official URL: http://dx.doi.org/10.1081/ETC-200040782
Abstract
The power of Pearson's overall goodness-of-fit test and the components-of-chi-squared or “Pearson analog” tests of Anderson [Anderson, G. (1994). Simple tests of distributional form. J. Econometrics 62:265–276] to detect rejections due to shifts in location, scale, skewness and kurtosis is studied, as the number and position of the partition points is varied. Simulations are conducted for small and moderate sample sizes. It is found that smaller numbers of classes than are used in practice may be appropriate, and that the choice of non-equiprobable classes can result in substantial gains in power.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | Econometric Reviews | ||||
Publisher: | Taylor & Francis Inc. | ||||
ISSN: | 0747-4938 | ||||
Official Date: | 2005 | ||||
Dates: |
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Volume: | Volume 3 | ||||
Number: | Number 4 | ||||
Page Range: | pp. 341-370 | ||||
DOI: | 10.1081/ETC-200040782 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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