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The Power And Size Of Nonparametric Tests For Common Distributional Characteristics

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  • Gordon Anderson
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    Abstract

    This paper considers the power and size properties of some well known nonparametric linear rank tests for location and scale as well as the Kolmogorov-Smirnov omnibus test and proposed alternatives to it. Independence between some classes of linear rank tests is established facilitating their joint application. Monte Carlo study confirms the asymptotic power properties of the linear rank tests but raises concerns about their application in more general and practically relevant circumstances. It also indicates that the new omnibus tests constitute viable alternatives with superior properties to the Kolmogorov-Smirnov test in certain circumstances.

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    File URL: http://www.tandfonline.com/doi/abs/10.1081/ETC-100104077
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

    Volume (Year): 20 (2001)
    Issue (Month): 1 ()
    Pages: 1-30

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    Handle: RePEc:taf:emetrv:v:20:y:2001:i:1:p:1-30

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    Related research

    Keywords: Two sample linear rank tests; Omnibus tests; JEL Classification: C12; C14;

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    Cited by:
    1. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F, 2002. "The Properties Of Some Goodness-Of-Fit Tests," The Warwick Economics Research Paper Series (TWERPS) 653, University of Warwick, Department of Economics.
    2. Anderson, Gordon & Ge, Ying, 2005. "The size distribution of Chinese cities," Regional Science and Urban Economics, Elsevier, vol. 35(6), pages 756-776, November.
    3. Qi Li & Esfandiar Maasoumi & Jeffrey S. Racine, 2008. "A Nonparametric Test for Equality of Distributions with Mixed Categorical and Continuous Data," Emory Economics 0805, Department of Economics, Emory University (Atlanta).
    4. Xiang, Chong, 2007. "Diversification cones, trade costs and factor market linkages," Journal of International Economics, Elsevier, vol. 71(2), pages 448-466, April.
    5. Anderson, Gordon, 2004. "Toward an empirical analysis of polarization," Journal of Econometrics, Elsevier, vol. 122(1), pages 1-26, September.
    6. Gordon Anderson, 2008. "The empirical assessment of multidimensional welfare, inequality and poverty: Sample weighted multivariate generalizations of the Kolmogorov–Smirnov two sample tests for stochastic dominance," Journal of Economic Inequality, Springer, vol. 6(1), pages 73-87, March.

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