Kolmogorov-Smirnov type test for generated variables

Taisuke Otsu and Go Taniguchi

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Distribution homogeneity testing, particularly based on the Kolmogorov-Smirnov statistic, has been applied in various empirical studies. In empirical economic analysis, it is often the case that economic variables of interest are obtained as estimated values or residuals of preliminary model fits, called generated variables. In this paper, we extend the Kolmogorov- Smirnov type homogeneity test to accommodate such generated variables, and propose an asymptotically valid bootstrap inference procedure. A small simulation study illustrates that it is crucial for reliable inference to account for estimation errors in the generated variables. The proposed method is applied to compare the total factor productivities across different countries.

JEL-codes: J1 (search for similar items in EconPapers)
Pages: 5 pages
Date: 2020-10-01
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Economics Letters, 1, October, 2020, 195. ISSN: 0165-1765

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:105571

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