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The properties of some goodness-of-fit tests

Gianna Boero (), Jeremy Smith and Kenneth Wallis ()

Working Paper CRENoS from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia

Abstract: The properties of Pearson's goodness-of-fit test, as used in density forecast evaluation, income distribution analysis and elsewhere, are analysed. The components-of-chi-squared or "Pearson analog" tests of Anderson (1994) are shown to be less generally applicable than was originally claimed. For the case of equiprobable classes, where the general components tests remain valid, a Monte Carlo study shows that tests directed towards skewness and kurtosis may have low power, due to differences between the class boundaries and the intersection points of the distributions being compared. The power of individual component tests can be increased by the use of nonequiprobable classes.

Keywords: pearson's goodness-of-fit test; component tests; distributional assumptions; monte carlo; normality; nonequiprobable partitions (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2002
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Related works:
Working Paper: The Properties of Some Goodness-of-Fit Tests (2002) Downloads
Working Paper: THE PROPERTIES OF SOME GOODNESS-OF-FIT TESTS (2002) Downloads
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