THE PROPERTIES OF SOME GOODNESS-OF-FIT TESTS
Gianna Boero (),
Jeremy Smith and
Kenneth Wallis ()
The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics
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)
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Working Paper: The Properties of Some Goodness-of-Fit Tests (2002)
Working Paper: The properties of some goodness-of-fit tests (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:653
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