On Approximating The Distributions Of Goodness-Of-Fit Test Statistics Based On The Empirical Distribution Function: The Case Of Unknown Parameters
AbstractThis paper discusses some problems possibly arising when approximating via Monte-Carlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to re-estimate unknown parameters on each simulated Monte-Carlo sample — and thus avoiding to employ this information to build the test statistic — may lead to wrong, overly-conservative. Furthermore, we present some simple examples suggesting that the impact of this possible mistake may turn out to be dramatic and does not vanish as the sample size increases.
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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal Advances in Complex Systems.
Volume (Year): 12 (2009)
Issue (Month): 02 ()
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Web page: http://www.worldscinet.com/acs/acs.shtml
Other versions of this item:
- Marco Capasso & Lucia Alessi & Matteo Barigozzi & Giorgio Fagiolo, 2007. "On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters," LEM Papers Series 2007/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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- Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007.
"On the distributional properties of household consumption expenditures. The case of Italy,"
LEM Papers Series
2007/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2010. "On the distributional properties of household consumption expenditures: the case of Italy," Empirical Economics, Springer, vol. 38(3), pages 717-741, June.
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