A Two-Sample Non-Parametric Likelihood Ratio Test

Patrick Marsh ()

Discussion Papers from Department of Economics, University of York

Abstract: This paper proposes a test for the hypothesis that two samples have the same distribution. The likelihood ratio test of Portnoy (1988) is applied in the context of the consistent series density estimator of Crain (1974) and Barron and Sheu (1991). It is proven that the test, when suitably standardised, is asymptotically standard normal and consistent against any complementary alternative. In comparison with the established Kolmogorov-Smirnov and Cramer-von Mises procedures the proposed test enjoys broadly comparable finite sample size properties, but vastly superior power properties.

New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.york.ac.uk/media/economics/documents/discussionpapers/2005/0525.pdf Main text (application/pdf)

Related works:
Journal Article: A two-sample nonparametric likelihood ratio test (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:05/25

Access Statistics for this paper

More papers in Discussion Papers from Department of Economics, University of York Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom. Contact information at EDIRC.
Bibliographic data for series maintained by Paul Hodgson ().