Boero, Gianna; Smith, Jeremy; Wallis, Kenneth F - Department of Economics, University of Warwick - 2004
In this paper we conduct a Monte Carlo study to determine the power of Pearson’s overall goodness-of-fit test as well as the “Pearson analog” tests (see Anderson (1994)) to detect rejections due to shifts in variance, skewness and kurtosis, as we vary the number and location of the...