Advanced Search
MyIDEAS: Login to save this article or follow this journal

On Approximating The Distributions Of Goodness-Of-Fit Test Statistics Based On The Empirical Distribution Function: The Case Of Unknown Parameters


Author Info


    (Tjalling C. Koopmans Research Institute, and Urban and Regional Research Centre Utrecht, Utrecht, The Netherlands)


    (European Central Bank, Frankfurt, Germany; Laboratory of Economics and Management, Sant'Anna School of Advanced Studies, Pisa, Italy)


    (Max Planck Institute of Economics, Jena, Germany; Laboratory of Economics and Management, Sant'Anna School of Advanced Studies, Pisa, Italy)


    (Laboratory of Economics and Management Sant'Anna School of Advanced Studies Pisa, Italy)


This 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: Access to full text is restricted to subscribers.

File URL:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Advances in Complex Systems.

Volume (Year): 12 (2009)
Issue (Month): 02 ()
Pages: 157-167

as in new window
Handle: RePEc:wsi:acsxxx:v:12:y:2009:i:02:p:157-167

Contact details of provider:
Web page:

Order Information:

Related research

Keywords: Goodness-of-fit tests; critical values; Anderson–Darling statistic; Kolmogorov–Smirnov statistic; Kuiper statistic; Cramér–Von Mises statistic; empirical distribution function; Monte-Carlo simulations; 02.50.Ng; 02.70.Uu; 05.10.Ln;

Other versions of this item:


No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:wsi:acsxxx:v:12:y:2009:i:02:p:157-167. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.