ON SMOOTH TESTS FOR THE EQUALITY OF DISTRIBUTIONS

Xiaojun Song and Zhijie Xiao

Econometric Theory, 2022, vol. 38, issue 1, 194-208

Abstract: This note re-investigates the smooth tests for the equality of distributions introduced by Bera et al. (2013, Econometric Theory 29, 419–446) and provides a modified smooth test which works for the general case with two sample sizes m and n. Asymptotic properties of the proposed test statistic under both the null and the alternative hypothesis are studied.

Date: 2022
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