Comparing Distributions: The Harmonic Mass Index

Jeroen Hinloopen and Charles Marrewijk

No 05-122/1, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: The information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying the HM test in case of asymmetric samples.

Keywords: Distribution; PP-plot; test statistic; critical percentile values; robustness. (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2005-12-22, Revised 2005-12-30
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Citations: View citations in EconPapers (4)

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