Comparing Distributions: The Harmonic Mass Index: Extension to m Samples

Rien Wagenvoort ()
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Rien Wagenvoort: European Investment Bank, Economic and Financial Studies

No 2006/3, Economic and Financial Reports from European Investment Bank, Economics Department

Abstract: We extend the paper of Hinloopen and van Marrewijk (2005), who introduce the harmonic mass index to test whether two samples come from the same distribution, in the following directions. Firstly, we derive the Harmonic Weighted Mass (HWM) index for any number of samples. Secondly, this paper shows how to compute the HWM index without making any assumptions on the number of "ties" (i.e. identical observations) within or between samples. Thirdly, we investigate ties with a Monte Carlo analysis, and find that the critical percentiles as reported in Hinloopen and van Marrewijk (2005), for two samples that are free of ties, are fairly accurate approximations of the HWM percentiles for two samples with ties when the sample size exceeds 50 observations. Furthermore, our results show that these percentiles are fairly accurate as well for cases where there are more than two samples.

Keywords: Harmonic mass index; Harmonic weighted mass; Distributions; m samples (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2007-07-03
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Persistent link: https://EconPapers.repec.org/RePEc:ris:eibefr:2006_003

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