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Comparing Distributions: The Harmonic Mass Index

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Author Info
Jeroen Hinloopen () (Universiteit van Amsterdam)
Charles van Marrewijk () (Erasmus Universiteit Rotterdam)

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Abstract

The information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is 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 distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying the HM test in case of asymmetric samples.

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Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 05-122/1.

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Date of creation: 22 Dec 2005
Date of revision: 30 Dec 2005
Handle: RePEc:dgr:uvatin:20050122

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Web page: http://www.tinbergen.nl/

For technical questions regarding this item, or to correct its listing, contact: (Walther Schoonenberg).

Related research
Keywords: Distribution PP-plot test statistic critical percentile values robustness.

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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    Other versions:
  2. Wagenvoort, Rien & Waldmann, Robert, 2002. "On B-robust instrumental variable estimation of the linear model with panel data," Journal of Econometrics, Elsevier, vol. 106(2), pages 297-324, February. [Downloadable!] (restricted)
  3. Chotikapanich, Duangkamon & Griffiths, William, 2001. "On Calculation of the Extended Gini Coefficient," Review of Income and Wealth, Blackwell Publishing, vol. 47(4), pages 541-47, December. [Downloadable!] (restricted)
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  4. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
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  6. Proudman, James & Redding, Stephen, 2000. "Evolving Patterns of International Trade," Review of International Economics, Blackwell Publishing, vol. 8(3), pages 373-96, August. [Downloadable!] (restricted)
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