A k-sample homogeneity test: the Harmonic Weighted Mass index

Jeroen Hinloopen, Rien J.L.M. Wagenvoort () and Charles Marrewijk
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Rien J.L.M. Wagenvoort: European Investment Bank, Economic and Financial Studies

International Econometric Review (IER), 2012, vol. 4, issue 1, 17-39

Abstract: We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labeled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that allows the index to be computed exactly under all circumstances. This two-dimensional d-d plot accommodates a straightforward extension to the k-sample HWM index, with k > 2. A Monte Carlo simulation based on an example involving long-term sovereign credit ratings illustrates the power of the HWM test.

Keywords: k-sample EDF test; p-p plot; d-d plot; Power (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:erh:journl:v:4:y:2012:i:1:p:17-39

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