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Permutation tests for equality of distributions of functional data

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  • Federico A. Bugni
  • Joel L. Horowitz

Abstract

Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. Such data are called functional data. This paper is concerned with comparing two or more stochastic processes that generate functional data. The data may be produced by a randomized experiment in which there are multiple treatments. The paper presents a method for testing the hypothesis that the same stochastic process generates all the functional data. The results of Monte Carlo experiments and an application to an experiment on pricing of natural gas illustrate the usefulness of the test.

Suggested Citation

  • Federico A. Bugni & Joel L. Horowitz, 2021. "Permutation tests for equality of distributions of functional data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 861-877, November.
    • Handle: RePEc:wly:japmet:v:36:y:2021:i:7:p:861-877
    DOI: 10.1002/jae.2846
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    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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