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Comparing Distributions: The Harmonic Mass Index

Hinloopen, Jeroen; Marrewijk, Charles van - Tinbergen Institute - 2005

distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying … distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of … the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same …

Persistent link: https://www.econbiz.de/10005137302

Comparing Distributions: The Harmonic Mass Index

Hinloopen, Jeroen; Marrewijk, Charles van - Tinbergen Instituut - 2005

Persistent link: https://www.econbiz.de/10011257302

On the exact finite sample distribution of the L1 -FCvM test statistic

Hinloopen, Jeroen - 2011

We derive the exact finite sample distribution of the L1-version ofthe Fisz-Cramér-von Mises test statistic (L1-FCvM … underlying p-p plots emerge. Comparing the finitesample distribution with the (known) limiting distribution showsthat the latter … distribution differfrom the exact values, this will not lead to differences in the rejectionof the underlying hypothesis. …

Persistent link: https://www.econbiz.de/10011386478

Comparing Distributions: The Harmonic Mass Index

Hinloopen, Jeroen; van Marrewijk, Charles - 2005

Persistent link: https://www.econbiz.de/10010325292

Testing continuity of a density via g-order statistics in the regression discontinuity design

Bugni, Federico A.; Canay, Ivan A. - 2018

In the regression discontinuity design (RDD), it is common practice to assess the credibility of the design by testing the continuity of the density of the running variable at the cut-off, e.g., McCrary (2008). In this paper we propose a new test for continuity of a density at a point based on...

Persistent link: https://www.econbiz.de/10011809514

Permutation tests for equality of distributions of functional data

Bugni, Federico A.; Horowitz, Joel - 2018

rejecting a correct null hypothesis are equal. The paper also presents the asymptotic distribution of the test statistic under …

Persistent link: https://www.econbiz.de/10011804944

Permutation tests for equality of distributions of functional data

Bugni, Federico A.; Horowitz, Joel - 2017

rejecting a correct null hypothesis are equal. The paper also presents the asymptotic distribution of the test statistic under …

Persistent link: https://www.econbiz.de/10011941827

Permutation tests for equality of distributions of functional data

Bugni, Federico A.; Horowitz, Joel - 2021

Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. For example, electricity and gas consumption take place in continuous time. Data generated by a continuous time stochastic process are called...

Persistent link: https://www.econbiz.de/10012436894

A Consistent Heteroskedasticity Robust LM Type Specification Test for Semiparametric Models

Korolev, Ivan - 2019

This paper develops a consistent heteroskedasticity robust Lagrange Multiplier (LM) type specification test for semiparametric conditional mean models. Consistency is achieved by turning a conditional moment restriction into a growing number of unconditional moment restrictions using series...

Persistent link: https://www.econbiz.de/10012862378

Robust tests for ARCH in the presence of a misspecified conditional mean : a comparison of nonparametric approaches

Maki, Daiki; Ota, Yasushi - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...

Persistent link: https://www.econbiz.de/10013183738