A goodness-of-fit test for Generalized Error Distribution

Daniele Coin ()
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Daniele Coin: Bank of Italy

No 1096, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: The Generalized Error Distribution is a widely used flexible family of symmetric probability distribution. Thanks to its properties, it is becoming more and more popular in many fields of science, and therefore it is important to determine whether a sample is drawn from a GED, usually done using a graphical approach. In this paper we present a new goodness-of-fit test for GED that performs well in detecting non-GED distribution when the alternative distribution is either skewed or a mixture. A comparison between well-known tests and this new procedure is performed through a simulation study. We have developed a function that performs the analysis described in this paper in the R environment. The computational time required to compute this procedure is negligible.

Keywords: exponential power distribution; kurtosis; normal standardized Q-Q plot (search for similar items in EconPapers)
JEL-codes: C14 C15 C63 (search for similar items in EconPapers)
Date: 2017-02
New Economics Papers: this item is included in nep-ecm
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